PieterP:
What Arduino are you using?
Have you tried to use the ESP8266 directly with the computer? Are you sure it expects a baud of 9600? And does it respond to your AT messages?
If you are using a 5V Arduino, are you using a decent 3.3V power supply, with decent decoupling capacitors? And you are using a 5V to 3.3V level shifter on the Arduino's TX line, right? If not, you've probably fried your ESP8266 ...
I am using the arduino mega2560 and I haven't directly used it with the computer and yes I actually changed the baud rate to 9600 at+ciobaud by using this command and yes when I manually enter the AT commands in the serial monitor they respond OK and everything works well.
Well actually I am just using the USB cable that is connected to my arduino and I am using the 3.3V pin of the arduino to connect the esp. And the esp is still working fine.