You cant use AT Commands on Windows Phone. At least not yet.
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Windows Phone supports AT commands, otherwise the handsfree profile for headsets and car-units would not work at all. Nevertheless, the current set of supported commands is quite limited, yes. For example, SMS do not work for me.
Here you go: http://www.traud.de/gsm/files/Microsoft/
After fifteen years of AT commands in the Nokia World, it would be cool if the engineer at Nokia starts do his job, documenting his stuff. Or said differently: It is not possible to work out the supported set, if the AT command AT+CLAC does not work. AT+CLAC would list all (supported) commands. And currently, AT+CLAC does not work in Nokia Lumia. Therefore – to work out the supported set – I would need the source code or I have to reverse engineer the firmware files. By the way, in Samsung ATIV, SMS reading works.