Here's the good news: There is a program to do this, called PdaNet by June Fabrics.
Here's the bad news: The software costs $34 (one time and still way cheaper than the ~$60 a month for phone as modem plans)
Here's the disclaimer: Using your phone in this manner violates the contract (terms of use) between you and your carrier. (then again, I've been using this program for close to a year now without any issue.)
Link for the software:
http://junefabrics.com/pdanet/index.php
Hope this helps,
Robb