Hold up! Before you think you can run off to the App store and pick up iPhone Modem, think again. This one’s for jailbreak(ed) iPhones only, that is until Apple approves their app, which has been the ‘approval queue’ since July. To start you’ll need to install the computer app on your machine. Once that’s setup and running, open your iPhone’s settings and under WiFi, join the ‘iPhoneModem’ network. After that, launch the App on the iPhone and you’re in business. 10 seconds and you’re tethering.
Note that the App is shareware, so you’ll probably wanna fork over the $10. As usual, watch your bandwidth usage. AT&T monitors this type of stuff, and if you get caught they can shut you down.