Can anybody teach me how to change T-mobile to AT&T?

For iPhone 4

Yes, you call them and tell them you want to change, you can't do it on messageboards.

Just go into the AT&T store and they will handle every thing for you

First you call or go into an at&t store and tell them you want to switch. They will ask about your current phone, is it unlocked from tmobile, etc. If all is OK, they will sell you a sim card and a plan of your choice. Then you allow at&t to access your tmobile account so they can port your old number over to them if you want to keep it. If not they give you a new number and it's done.

Yes going to the store is probably your best bet. If you already know that your phone is unlocked then you can also do it online. They will need to access your t-mobile account so they will ask you for your t-mobile pin or id and password. If you are not sure what that is it is better to call t-mobile directly to get this once you know exactly what at&t needs.

Are you switching because of the price or the network?
If you like the t-mobile network in your area then you may want to check out a new carrier that as been growing like crazy and uses the t-mobile network.
They have a $49/month unlimited talk, text, data plan with 4Gigabytes of 4G data (much more than the big guys) and international texting is included as well.

If that sounds good then it might be an even easier switch. More info in sources.

You can get your Iphone unlocked to AT&T using remote unlocking method. You can get this service from any vendors online like http://www.theunlockarena.com