Unless you are rooted, there are two apps that I know of that will allow you to tether. PDA Net and EasyTether. Download one of those apps from the Market and then install as usual. When you open the app for the first time, it will take you through a wizard that will explain what you need to do in an easy format. If, after trying the step above, you still have problems, then come back here and let us know what's going on.
As for restrictions. PDA Net will restrict you from visiting https: sites unless you pay $30 while Easytether does the same unless you pay $9.99. I, personally use Easytether but have had a lot of issues since upgrading to 2.1.