Yes, there's a 'Personal Hotspot' option, that turns the iPhone into a wireless router, so you can use its 3G, E or GPRS data connection on your PC via WiFi.
Go to Settings, then General, then Network. You should see either 'Personal Hotspot' or 'Set up Personal Hotspot'.
However, you may need to pay your network operator more to use it.
Call your network to check. Make sure you ask about costs!