When you tether on an iPhone what you are trying to do is basically use the 3G signal that the iPhone gets through AT&T and use it as a WIFI signal for your laptop. Think of it this way, the iPhone acts as a wireless modem for your laptop to connect to so it can use the internet. At the present moment AT&T does not allow tethering on the iPhone.
The only way you can tether on the iPhone is to jailbreak your iPhone. What this means is that you will basically change parts of the operating system that is running the iPhone to do different things other than what the iPhone can currently do. For example, when you jailbreak the iPhone you are able to run a program to actually tether it to a laptop.
I would not suggest to jailbreak your iPhone unless you really know what you are doing. If you don't do it correctly it can really mess with your iPhone and Apple and AT&T don't honor any warranties if you have decided to jailbreak your iPhone. If you really want to tether your iPhone, check out the video below on how to jailbreak it.
Hopefully, I have been able to explain tethering for you. If you need any clarification, please let me know.
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