Hi Greg,
The process of using your iphone as a modem is known as tethering and is fairly simple to do for idevices using iOS 4. To enable, go to Settings, General, Network and you'll see Personal Hotspot. Follow commands on screen and you can set it up; no app required.
Sorry i cannot be more specific but i have not done this for myself, If you get stuck, im sure you can find a tutorial online for iphone tethering. Just make sure the tutorial is fairly recent as this was a feature that generally needed you to jailbreak your phone. Some carriers also charged additional fees for the service...even though they arn't providing anything different to what they currently are.
Dont worry though; if you have an iPhone using iOS 4 it is natively supported and as far as i know, no telcos charge for it anymore.
Good luck!
Jack
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