Welcome Andrewe1!!! Glad to have you!
If you are still running the 3.0 software on your iPhone you can tether. Just check out
this link and it will walk you through the steps. I know it will work with 3.0. I did this and was able to tether my Macbook with my iPhone. Worked great, but if you have updated to 3.1 or later...I am not sure. 3.1 broke the tethering.

Some people have been able to but I was not.

They are working on a fix for that though!
Let us know if it works out!