If you want to Tether (share mobile internet connection with your computer or laptop) on this Android 2.1 phone on Windows, all you have to do is install the HTC Sync software, which is convienently copied on the microSD card you received within your phone. Once you've installed the software, presumably through a USB Connection, you can switch the connection mode on the device to Intertube sharing and you're ready to go :)
Note that I've heard some people on Windows don't even need to install the software. For me, the USB port was not recognized as a source of Internet sharing. Linux users can just listen to their USB socket for Teh Internets.
I seem to require that the HTC Sync app is on before the tethering works, but it might also just be jittery because I'm in a train. It does work decently in a train though :) Except for those pesky tunnels. Stay away from tunnels.
Ahwell, took me half 'n hour before I read this advice on the web. Didn't want to root my device just to tether, nor use some kind of weird difficult hack (or pay moneyz for that to work). Luckily for the Desire, you don't have to :D
Hope it helps you too :)