S Free iPhone3G Locked to O2

Got a new iPhone3G as an applecare replacement last week. Was very impressed with the service. My old iPhone was 20 months old, and it was just the wifi that stopped working.
Anyway, the lady on the phone said that the phone would be delivered direct from apple, and would be unlocked. 3 days later, a UPS man at the door gave me my new iPhone, and took the old one away.
Now for the tricky bit, I activated the iPhone using my O2 sim, and it worked perfectly. But now that Im not tied to O2, I decided to try another network without signing a fresh 18 month contract. Filled in the forms, yes its fine, this iPhone isnt locked, etc, new carrier, same number, no contract. 2 days later my O2 sim stops working, great, out with that and in with the THREE sim. The guy in the shop said it should be fine in an unlocked iPhone, and would just need to update carrier settings. But no.. the iPhone is LOCKED to O2.
Reading on here, it seems that the iPhones automatically LOCK to whatever network it is activated with.. is this right? How can I unlock it? How can you allow a network provider to hijack a phone like this?
Now Ive a brand new usless iPhone.. sorry, iPod touch - fat version. And have to use a 3 year old sony ericsson to get me by in the short term.
And before someone suggests it, Im not jailbreaking my phone, didnt do it with the first one, not doing it with this one.
Ill give it a week looking for a fix before I go and buy an android phone.
VAIO AR41 Windows Vista Its old, but it works.