Something that I have noticed from tethering my Mogul is

(a) I usually have to install Activesync 4.5 on the computer (winxp) - this updates the USB drivers so that the computer can actually see the phone at all. Note that I don't have to setup a relationship to sync the phone and the computer....

(b) it is very picky about which usb cable I use - basically I HAVE to use the cable that came with my phone. Using "any old usb cable" will let it connect, but then drop the connection after just a few seconds.