Tocard is correct. Dialing the number as +33 then the 9 digit number (the 10 digit number local French number WITHOUT the initial zero) should work from any cell phone.
However, sometimes cell phones have settings to "make international calls easier" which actually make it more confusing, at least to me. For instance, they may put in the +, or the country code. I don't know AT&T or your individual phone, but see if you can find a menu on the phone that has some kind of "international call simplifier," and turn it off. Then retry dialing it the way Tocard wrote.
French phone numbers are actually some of the simpler ones around. All French phone numbers have 10 digits, always starting with 0. The second digit tells you the region or type of phone (4 for southeast France, 6 for cell phones, etc), but doesn't change how the number is dialed.
1) From any French phone (land line or cell phone) to any French phone, just dial all ten digits starting with the 0.
2) From any other cell phone, dial +33, then the French phone number omitting the initial zero (so 9 digits instead of 10).
3) From a land line in another country, dial the international access code (011 in North America, 00 in most European countries). Then dial 33 and then the French phone number omitting the initial zero (so 9 digits instead of 10).
Again, if this isn't working, something's wrong with your set up. The only exception I can think of is that some numbers starting with 08 are toll numbers, which may not work from "abroad" like the US. (This is similar to how you can't always dial US based 800 numbers from abroad.) Remember your AT&T account is a bubble of the US no matter where you are.