Not without jail breaking it. Or do you have a hack?
It slipped my mind that iPhone capabilities might differ from country to country. I'm in Canada. I got an iPhone update (legal, required) in June of this past summer that enabled internet tethering. I, as with everyone else with an iPhone in Canada (as far as I'm aware) subscribe to Rogers as a service provider.
I feel for you American folks if you can't tether yet. Really useful on the road!
Cheers