While Windows Phone 7 looked like it lacked USB Tethering support, it appears that some people managed to pull it off using a Samsung Focus. We know that the Windows Phone 7 is still in a very novice stage, but even then they still don’t offer some really nice features which basic feature phones have.
If you have a Samsung Omnia or Samsung Focus, enabling USB tethering won’t be rocket science and in a few steps you can make your phone a 3G modem. It only involves making a few changes in the settings located in the Service menu and you’re good to go.
Follow these instructions (on a Samsung Focus)