Unlocking Iphone 4S

I have purchased a new Iphone 4S from someone, and found out that this phone is locked [the seller told me that he did not know whether the phone is locked or not, he was honest]. Given the low purchase price, I thought and have been told that unlocking the phone can be easily done. However, I so far tried with 3 shops [cost: QR.500.00] and after 2/3 weeks, all the 3 shops informed me that unlocking the phone is not possible (the phone came from USA). I still cannot believe it! Your help is kindly requested to resolve this issue, if anyone of you had similar experience. Thanks