O2 have been a bit sneaky on this one, basically they have bundled the tethering into the latest tariffs, but left it as an additional bolt-on on the existing tariffs, that bolt-on costs £8.50 or something like that.
So new or upgrading customers can take the new tariff but the loyal existing customer on an O2 contract is to be stung for an extra £8.50.
If you have an iPhone 4 you are presumably already paying £8.50 for the iPhone bolt-on, then they get you for another £8.50 to tether that to your PC.
its all in the T&C's of course, but it you aren't eligible to upgrade at the moment you get stung, seems wrong to hurt your "loyal" existing customers this way, but who ever said life was fair.
Could try arguing the point with O2, once the Tethering bolton is enabled on your account, the tethering options in the iPhone start to work and its easy peasy.