i'm actually using windows 7 and internet sharing as we speak. it works fine. just make sure you download the
Windows Mobile Device Center. i believe installing it will install the drivers you need to use the internet sharing.
*edit* also, almost any custom rom you install will allow you to use internet sharing. as soon as you connect your phone to your pc, it'll ask if you want to connect with activesync, external drive, or internet sharing. if you choose internet sharing, it will open the app and usually connect for you... for free :P