On Windows XP,

Go to Control Panel->Network Connections, then right click on Wireless Network Connection and select Properties from the menu.
Select Wireless Networks tab, under Preferred networks, click Add.
Give a name to your network in the SSID box such as "iPhoneNet".
Check "This is a computer-to-computer (ad-hoc) network and select "OK" to close the settings.
Now on your iPhone go to Settings->WiFi and "iPhoneNet" should show up in the list unless your computer is already connected to a router. Tap on it and your computer should go online.
On Mac,

Click on the Airport icon at the top of the screen.
Select Create Network, give it a name such as "iPhoneNet".
Now on your iPhone go to Settings->WiFi and "iPhoneNet" should show up in the list. Tap on it and your computer should go online.