You will need to Jailbreak your device in order to use custom 3rd party applications that enables you to use your phone as a tethering application. There is another program you can use and it's called Quasidisk.
Later Edit: Quasidisk was the only application available in the Store that can be downloaded to enable WiFi tethering but has been pulled back from the store. It looks like the only way of enabling WiFi tethering is to jailbreak your phone because it will allow you to install 3rd party applications. In this case MyWi is the solution for this issue.