The Sonicwall VPN software I use & support for my office has that type of functionality as a feature. The reasoning is this: if your machine can see both the internet/local intranet as well as the VPN tunnel simultaneously then it is essentially a gaping hole in the company firewall, so that behavior is not allowed. If that's the case with the AT&T software then no amount of fiddling with windows settings will have any effect. I'd read the AT&T documentation (if there is any).

'Luck.

-Zeke