With iPhone 3.0 OS it is very easy to enable tethering on any iPhone running version 3.0 of the OS. Browse to http://help.benm.at/ with your iPhone and go to Tethering & Internet Settings. Choose Mobileconfigs and select your own country and provider. You will be prompted to install the right profile et voila, your iPhone suddenly features the ability to enable tethering. Go to Settings, General, Network and there you should see Internet Tethering. Choose USB tething, that works easy as 1-2-3.
So now the last bit you need to know is how to connect the iPhone to your computer in a way your computer sees the iPhone and builds the connection? For Windows Vista and OS X it is as easy as installing iTunes 8.2. Installing that also installs the right drivers for the iPhone to become a network connection.
On Windows, installing iTunes also installs some other stuff you don't need, I am still investigating what you really need and what can be removed:
When you have Tethering enabled on the iPhone and connect the USB cable it should automatically start tethering. iTunes starts up, but you can close it again, it's not required to keep the connection.
This is how things look on the iPhone when tethering:
The good thing is that you can continue to use your iPhone while tethering, the blue glowing top bar will remind you that it's tethering. And it also doesn't seem to run hot like the old 3rd party apps (requiring a jailbrake) used to do.