If you wanted your AT&T sim to work in your Nokia N95 you need to check whether your phone is locked or unlocked to any particular network.
If it is a locked one you need to unlock it.Unlocking a phone can be done with the help of
TheUnlockArena.com where you need to mention your network and country your phone is locked to.They provide you with unlock code and free unlocking instructions.
If it is an unlocked one you can use it with any network you wish.