Billing for Service I never received

I was convinced by a good salesman to switch to AT&T, phones and Internet. We have had shotty coverage, but that happens, I can understand. The problem is that we never received the internet equipment, I have literally been on the phone with customer service for over three hours, I have the screenshots to prove it. 

After transferring me to four different people who tell me that for some reason the equipment was never actually shipped out to me, but the label was created, so I need to return it?!?!? How am I supposed to return equipment that I never received??  

This has been going on for over three months and my account shows as past due. 

Am I the only one frustrated with the poor of customer service at AT&T?