If you download ICS (free) and install WMWifiRouter (paid) you will have yourself a wireless access point. I use this ALL the time with my iPod Touch and with my laptops. It is absolutely wonderful.
Bluetooth, like michaelk said, is an option too -- assuming you have bluetooth on the device that you are using.
Keep in mind, you will see significant battery drain when using these methods...
If you want to tether over wifi, here is a free way. It does not require any of the above programs. Took me a while to figure out all the settings. On the Saga:
1. Go to Start - Settings - Connections - wifi
1a. Change Networks to access to All Available (this may be optional)
1b. Click Add New [Wireless Net]
1c. Network Name: Saga
Connects to: The Internet
Check "This is a device to device ad hoc"
Click Next
Authentication: Open
Data Encryption: Disabled (You can lock it later if you want)
Next
Finish
1d. Turn OFF your wifi (for the time being)
3. Start the wifi adapter and make sure it is using the Saga profile. Also make sure the phone can send over the internet through the EVDO. Check your email or browse something to be sure.
4. From your laptop (PC) make sure it can connect to ad hoc networks and browse for one called Saga. Connect to it and you should be surfing.
A couple of caveats. First, supposedly there is no way for a carrier to detect if you are tethering using this method. Use at your own risk. If the phone goes into sleep mode you will lose the connection so change your power settings appropriately.
After you have things setup the first time, simply start ICS Control and click Start ICS THEN start your wifi adapter to assure it gets the right ip. If you do this backwards (starting wifi first) it may not work.
Cheers
PS
You can also use icscontrol to tether via usb by changing the private adatper to RNDISFN1, via BT by changing to BTPAN1. You can do all kinds of crazy stuff like making your phone into a wifi adapter for your computer too Pub=AR6K_SD1 Priv=RNDISFN1 etc etc.
ICS is your best bet, considering the other two options i'm going to throw out there aren't fully supported and cost money (although you can find 'free' versions out there).
WalkingHotSpot, seems to work better than the other one I would throw out, and that's WMWifiRouter.
Both of them work GREAT when they work. I connected my Xbox 360 wirelessly (through the ad-hoc wifi network) to my phone and played call of duty 5 online with full green bars, no lag..for a few hours.
This may be better, for someone like me that could never get lars way to function. I can make the ad-hoc network, connect to it via laptop, but it never gets internet access.
Wirelessly is also an open term. Intshr is free and allows tethering via USB or BT which is "wireless". Add wmwifirouter and it should do wifi. PDAnet from Junefabrics.com also tethers via usb and BT using Activesync. It requires client software on the pc and costs.
I tried the ICS method that larsdennert posted, but I ended up with the same problem I've had with all the other products for this (wmwifirouter, etc.). I can't get the evdo connection to stay working when the WiFi is running. Any ideas for me to try? Basically Step 3 above is where I have trouble, as soon as I disconnect the wifi again I can browse again.
I tried installing the incsinstall.cab and rebooted by no dice, still lose EV when I turn on the WiFi. Maybe I need to just try a hard reset and start over.
That could be my trouble, then, as I have tried a few of the commercial options like wmwifirouter, etc. None of them have worked for me, though, they all lose the EV connection as soon as they get up and running.
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