Your friend oversimplified things.
In any given area, only two wireless carriers can use the 850mhz band. The other carriers use 1900mhz.
The FCC licensed the 850mhz band way before T-Mobile was even known as VoiceStream, so when it (T-Mobile) started to build its network, the only band it could use was 1900mhz.
So T-Mobile's native network is 1900mhz only. AT&T's was around back in the day, so its network is 850mhz and 1900mhz, depending on location.
In your area (Phoenix), both AT&T and T-Mobile are 1900mhz. The two 850mhz carrier are Alltel and Verizon.
In other areas (esp the midwest, like Louisville), AT&T is 850mhz and T-Mobile is 1900mhz. So it's not a true statement that AT&T and T-Mobile use the same freq. in all urban areas.
If you're curious, if you enter a zipcode into this website, it'll show you which carriers have native coverage and which bands they use:
http://www.wirelessadvisor.com/wireless-company-in-major-cities
I don't think you'll find any area where T-Mobile operates their own 850mhz coverage.