SE normally provide a way of doing this through their PC Companion software, but haven't found it yet. Hopefully, it's something they're working on for a future update. Until then, it seems third party apps are the best way forward.
Have PdaNet working flawlessly on 3 computers (at different times) Paid for full version to get full functionality but free version worked for most things.
I've got Easytether working over here on Windows 7, works like a charm and very, very easy to set up. Did't try PDANet yet because Easythether does the job for me. I'm going to use it on our upcoming holliday in Denmark in two weeks.