What a great way to advertise your airline. Imagine a poster with a passenger plane crashing into the ground, huge fireball and the tag line:
"BA - Unlike other airlines we've not killed anyone for 35 years"
Sorry
Your data is backed up and restored during the update.
There is always a chance that something could go wrong so use Desktop Manager or BlackBerry Protect to back up your phone before you update.
It's free.
Your data is backed up and restored during the installation process so you won't lose anything.
You can do it from your phone.
Options icon - Advanced Options - Wireless Update - Check for Updates
You can also use Desktop Manager
When you plug your phone into your computer and...
You are doing it right so the only thing I can think of is that you don't have a data plan.
If you don't have a data plan you cannot update your device software.
From RIM:
In order to upgrade your BlackBerry® Device Software, you must have a BlackBerry service data plan for your BlackBerry®...
Updating your OS is free and has no effect on your contract.
You can update right from your phone.
Options icon - Advanced Options - Wireless Update - Check for Updates
Use App World
If it isn't already installed on your phone (it should be) you can get it here:
http://us.blackberry.com/apps-software/appworld/download.jsp
To move an icon scroll to it
Press the Menu key and select Move
Use the trackpad to move the icon to your desired position then press the trackpad
Repeat as desired
AT&T requires a data plan for all smartphones regardless of where it was purchased.
The cheapest option is 200 MB for $15.00 but if you don't add it yourself AT&T will automatically add the 2 GB plan ($25.00) to your account when you insert your SIM card.