After the removal of the iPhone application Netshare modem software the iPhone is probably the only 3g phone you cant use as a modem. However the iPhoneModem application has now been released, unofficially. Which means it will only work on a phone which has been jail-broken.
This is understandable though as the carriers of these phones do not want laptops sucking up all the free data you get on an iPhone plan.
The software is simple to use and costs just $9.99. It comes in two parts. Firstly, you install some software on your jail-broken phone and secondly you install a desktop application on your laptop.
Once done you activate both and surf away over your mobile phone signal. Kind of cool and very handy should you need emergency access where no wi-fi signal is available.
For full details and instructions on what it works with and Apples take on this whole thing, head on over to TechChee