This is really straightforward
1) Install iTunes 8.2 on the Windows machine
2) Activate Internet Tethering on your iPhone 3G or 3GS (note: Rogers supports this in Canada if you have a data plan of at least 1GB/month).
(You may need a carrier settings update file, which iTunes 8.2 will push to you if needed.)
3) Connect the iPhone
Apple has some good support articles - see iPhone 3G: System requirements for Internet tethering and iPhone: Troubleshooting Internet tethering. You need at least XP SP 2 for Windows. On Mac you need OS X 10.5.7 for USB, or OS X 10.4.11 or newer and Bluetooth 2.0.
I am not getting anything near the vaunted 7.2 Mbps that the iPhone 3GS is capable of, getting instead in the mid-range (about 2 Mbps) of the older 3.6 Mbps HSDPA speed for downloads and only about 100 kbps up. Considering that cellphone data in Canada was a fraction of those speeds just a few years ago, 2 Mbps is not bad, but I thought Rogers Vision was supposed to be a full 7.2 Mbps HSDPA network in city cores.
Rogers PR says
Canada's fastest network just got even faster, with the Rogers 3.5G Network. We've increased our network download speed from 3.6 Mbps to up to 7.2 Mbps from coast to coast
Also note you should make sure you have your dataplan added to your account and active BEFORE you start any attempt to tether.
First because it may prevent you tethering until it sees at least a 1GB plan in your account, and second because if somehow you are able to tether without a data plan, your costs will be astronomical. (The best deal right now is the $30/6GB plan, but keep in mind Rogers may add Tethering charges on top of that starting in the new year.)
It took several hours for the plan to be added to my account after I got the phone, but the Rogers rep was professional: persisted in trying to add it, and called me once it was added, both of which are great service on what was a very busy and stressful day for her.