Here's how it works:
* "At" is a preposition.
* "All" is a pronoun or determiner, depending on the context.
Together, they form a phrase that intensifies the meaning of the word it modifies.
Examples:
* "Do you understand at all?" (modifies the verb "understand")
* "She wasn't at all interested." (modifies the adjective "interested")
* "He didn't move at all." (modifies the adverb "move")