If someone has a Windows solution, I'd be honored. :)
Just kidding. Mostly. If you browse to http://help.benm.at/ from your iPhone (UA checking), you can download a carrier profile that will enable tethering. Reboot your phone and you should be good to go.
I recommend downloading the carrier file manually and verifying its contents before applying the setting changes.
Incidentally, the open-ness of Windows Mobile has meant that WinMo phones on ATT have had unlimited tethering forever. It doesn't have a really pretty icon, though...
Carriers want to be able to charge for it regardless of which phone you own.
As for the 'pretty icons'... Apple/RIM/Google are realizing that users are beginning to care less about what hardware their phone has, and more about what they can do on their phone. All 3 are focusing on providing app driven platforms, and Apple did well to grab the early lead.
I don't see a future for winMo in that ecosystem.
Sure, WinMo sucks hard. But it's open, and that means you can do whatever you want. Android is probably the most logical successor, although T-Mobile would really like you to pretend that Android is closed.