This can now be done via ‘hotspot’ on iPhones. This article is here for historic purposes.
Yesterday Telstra turned on internet tethering for the iphone! (I think they are the only carrier in Australia to do this.)
Tethering is where you use your iPhone as a wireless modem to connect your computer to the web. It’s useful if you are out with your laptop and you don’t have access to the web. Just plug your iPhone into your laptop via USB and it acts as a wireless modem! Here’s how to get it going. NOTE: Apple have now changed this to be called ‘Personal Hotspot’ instead of ‘Internet Tethering’. It works the same though.