I found a video that shows how to enable tethering on your iPhone 3G and 3GS without jailbreaking. I’m not able to try it out because I still have the original iPhone, but let me know if it works! This is not me in the video! 🙂
Here’s where you go:
Then scroll down to the Tethering & Internet Settings, then choosing your country and provider. This works for both AT&T and T-Mobile, and will let you install the appropriate configuration. Now go to your settings and enable tethering.