I adapted and simplified the directions for tethering available throughout this forum thread at CrackBerry.com. My directions are specific to AT&T in the United States.
Configuration:
Install the latest version of Blackberry Desktop.
Open the “Phone and Modem Options” control panel.
Click the “Modems” tab.
Select “Standard Modem” and click on “Properties”.
Click the “Advanced” tab.
In the “Extra initialization commands:” field, enter the following:
AT+cgdcont=1,"IP","wap.cingular"
Click “OK” twice.
Open “Network Connections”.
Open the “New Connection Wizard”.
Click “Next”.
Select the “Connect to the Internet” option, and click “Next”.
Select “Connect using a dial-up modem” and click “Next”.
In the “ISP Name” field, type “BlackBerry”, and click “Next”.
In the “Phone number field:”, type “*99#”, and click “Next”.
Select “Anyone’s use”, and click “Next”.
Leave the user name and password fields blank; uncheck “Make this the default Internet connection”, and click “Next”
Click “Finish”.
Click “Cancel”.
To connect:
Connect the BlackBerry Bold to the computer using a USB cable.
Open the BlackBerry Desktop Manager.
Open “Network Connections”.
Open the “BlackBerry” network connection.
Click “Dial”.
You should now be connected. When you are done, go ahead and disconnect.