Tethering works over the cellular data network; you can’t share a Wi-Fi connection to the Internet. If you have a 3G connection, you can make and receive phone calls while tethering. Set up a tethering connection: In Settings, choose General > Network > Internet Tethering. Slide the Internet Tethering switch to On.

Connect iPhone to your computer:
USB: 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.” Click Network Preferences, configure the network settings for iPhone, then click Apply.
On a PC, use the Network Control Panel to select and configure the iPhone connection.

When you are 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 Internet connection. NOTE: Additional fees may apply. Contact your carrier for more information.
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Celcom
Below are 2 options. You can choose either files to use.

A)For the tethering, Krux provided these files:-

To get this on your phone, you either need to click the link using MobileSafari or email it to yourself and open it in Mail.app on the phone.
USB Tethering is instantaneous on the Mac OS X 10.5.7. [credit: stringfellow]

B) For Celcom users to enable your tethering. Use at your own risk, I have tried it, if you do not like it or does not work you can remove it.
Install << THIS >>. Make sure you open this link on your iphone. It will ask you to install this Profile, there is a warning about the authenticity of this program, just hit Install Now, once it is done, hit the Done button. Go to settings->general->network->cellular data network and remove the celcom3g on both Cellular Data and Visual Voicemail APN settings. They should be left blank. Hit the network to go back. Now you can turn on the Internet Tethering option.

If you want to remove this profile, just hit General and scroll down to the Profile, click on Enable Tethering on Celcom 3g and you can see the a red remove button icon.[credit: icebrew]

C) Here's a step by step pdf guide created by forumer friends for Celcom users (Mac Only): Download Link

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Maxis
I am using SingTel set with Maxis (not official iPhone plan).
I just did normal upgrade. Carrier settings changed to Maxis 4.0
Went to Messages, camera icon automatically there. Tested send out MMS no problem
Then went to Settings -> General -> Network -> Internet Tethering
At first ask to either call Maxis or got to Maxis website. I was perplexed. Then I went to the same screen again. Now I can either turn on or off the tethering.
[credit:bjkhan]
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1) Download and install iTunes 8.2
2) Plug iPhone into USB
3) Enable Internet Tethering
Voila, connected
[credit: tinkerbel]
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DIGI [Temporary solution]
Here's the digi.mobileconfig for tethering to work..Digi.mobileconfig
Send the file or attach to your email. Open it with your Mail on iPhone. Then it will ask u to install it. Start tethering
[credit:Snuffykl]
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For DiGi users. This is wat i did to get the tethering and MMS working although not simultaneously.
I have an email containing the .mobileconfig file. So when i need tethering i'll just run the file. When i m done, i re-set the MMS settings.
DO NOT RESTART YOUR PHONE!
You'll lose the Tethering option. Juz change the MMS setting and ur mms will be up and running already. Then when the next tethering session comes up, juz open ur email and reload the .mobileconfig again.
[credit:zandman]

UMobile [credit: Lord_Ashe]
<Installation of configuration profile>
1. use your Safari on your iPhone 3G to surf to help.benm.at
2. scroll down to "Mobileconfigs create > "
3. key in "my3g" for APN under Mobile Internet
4. turn on "Enable Tethering"
5. click "install"

The profile will then be installed on to your iPhone 3G.

<To turn on internet tethering>
1. With your iPhone 3G, go to "Setting" \ "General" \ "Network"
2. Turn "Internet Tethering" ON
3. Select bluetooth or USB (recommend to use USB only so not to drain power from the phone)

<To connect to your PC/Mac>
1. Plug the iPhone 3G to your PC/Mac
2. Your PC/Mac will detect the new device
3. Start surfing!

(a) For PC, the driver will be installed together with iTunes 8.2.
(b) For Mac user: (you only do this once) Just click "Apply" to accept the new device, ** DON'T click the "Connect" button at the Network Preference on your Mac.