This question appears often enough in the iPhone Atlas inboxes that it's worth addressing: What does a solid blue square in the iPhone's status bar (instead of the capital "E") mean?
The "E" means that the iPhone is connected to AT&T's EDGE network. The solid blue square indicates that the iPhone can't find a nearby EDGE network, and is instead connecting via standard GPRS. In most cases, connection to a GPRS network will mean slower data transfer rates relative to an EDGE connection, and you might not be able to access Visual Voicemail services in this mode.
For a full list of iPhone status icons and their meaning, see Apple Knowledge Base article #305975.