It’s a bit of a manual work around but see here for further information:
Basically there seems to be a problem with the initial stages of communication between the PC and the Desire in wifi tether mode, maybe some kind of firewall.
This is what I did:
Installed wireless_thether_2_0-pre10.apk via SD card.
Installed a terminal emulator via the market.
Download wireless_tether_2_0_2-pre10.apk http://goo.gl/44ri or QR Code
conf : http://android.modaco.com/