PdaNet application.
Best of all the application seems to be free!

To get this working is actually rather simple.
A) Create a ad-hoc network with your iPhone and pc

1) Let’s start with your PC config:

1. Click the Start Button and select Control Panel.
2. Select Network and Internet. (If Control Panel is in Classic View, skip this step)
3. Open Network and Sharing Center.
4. Select Set up a connection or network (in the left pane).
5. In the resulting window, select Set up a wireless ad hoc (computer-to-computer) network.
6. Click Next and again on the following page.
7. In the Network name textbox, input iPhone as the name of the network.
8. Select a security type from the dropdown. (If you select WEP, you will need to enter a security key in the unghosted textbox)
9. If you want to use this network more than once, check the Save this network checkbox, if you only need it for a one time fix, leave the checkbox unchecked.
10. Click Next.
11. Click Close.

———–
Let’s now configure the iPhone.

1. Press the main Application button.
2. Select Settings, then select Wi-Fi from the menu, let your iPhone scan for a network and the network iPhone will pop-up.
3. Connect to the network iPhone.

At this point, the hardware for both the PC and iPhone are configured for the ad-hoc connection. Once the settings are saved, your PC and iPhone should establish a wireless connection automatically.