You can use iPhone 3G or later as a modem to connect, or tether, your computer to the Internet. You can connect iPhone to your computer two ways; using the Dock Connector to USB Cable, or via Bluetooth. It is very easy but you must go through few steps
So what I should do
For Dock Connector to USB Cable
Go to Settings on iPhone, choose "General -> Network -> Internet Tethering".Slide the Internet Tethering switch to on.
Connect iPhone to your computer:
Connect your computer to iPhone, using the Dock Connector to USB Cable.
In your computer’s Network services settings, choose iPhone.
On a Mac, a pop-up window appears the first time you connect, saying "A new network interface has been detected.
Then, click on Network Preferences, configure the network settings for iPhone, then click Apply. On a PC, use the Network Control Panel to configure the iPhone connection.15 / 27
For the Bluetooth
On the iPhone, choose "Settings -> General -> Bluetooth" and turn on Bluetooth.
When you’re connected, a blue band appears at the top of the screen. Tethering
remains on when you connect with USB, even when you aren’t actively using the
Monitor your cellular data network usage:
In Settings, choose "General -> Usage".