iphone-hacks.com

This is a quick tutorial to help you tether your iPhone to your PC or Mac. Please note this is against AT&T’s data usage policy. You could get charged with usage fees. Use at your own risk. You’ve been warned.

   1. Jailbreak your iPhone 3G (or first gen iPhone running the 2.0 software). Install OpenSSH via Cydia. (OpenSSH gives you command line access to your device)
   2. Create an ad-hoc network on your computer. On Macs, just click on the Wi-Fi icon in the menubar and select “Create Network.” On Windows, set up internet connection sharing.
   3. Join the iPhone to this network via Wi-Fi as usual.
   4. On the iPhone, under Settings->Wi-Fi, select the network you have joined to view connection details. Write down its IP address.
   5. From the Mac’s Terminal, run the following command:
      ssh -ND 9999 root@IPHONE_IPADDR
      but replace IPHONE_IPADDR with the IP you wrote down in step 4. Login. The default root password is alpine; you should really login normally over SSH and change this.
      Windows users: the free SSH client Putty will allow you to accomplish this same step. Don’t install Cygwin+OpenSSH as some suggest, that’s massive overkill.
   6. Configure your browser to use a SOCKS5 proxy server at localhost:9999.
   7. Surf.

Again, this is against AT&T’s data usage policy. Use at your own risk!

- source: lifehacker.com