The phone supports 3G and EDGE Class 10, 236.8 kbps. A 3G indicator will appear in the upper part of the screen automatically if working properly.
If it does not, it may be a software problem (this is a known problem), Take it to a AT&T retail store and have them re-download the software for the phone. This should correct your problem.
Specs:
http://www.mobile88.com/cellphone/Sony-Ericsson/Sony-Ericsson-W705/specification.asp