Update: This no longer works with the 3.1 firmware - go thank Apple & Mobistar for that..
The easiest way to enable tethering on your iPhone is to browse to websites like http://help.benm.at which have configuration files that you can install on your phone. However, all the mobileconfig files I found online didn't work for me as they used the wrong APNs. My account needs to use "web.pro.be" for data and "mms.be" for MMS.
So I created my own mobileconfig, attached to this article. Use at your own risk, I'm not going to guarantee that anything here is correct, but it has been confirmed to work (both tethering and MMS) by several people. To install, simply open the attached file from your iPhone.
Of course, keep an eye on your bandwidth consumption, it isn't cheap.