So it is generally thought that you can not use the european motorola milestone as a tethered modem. I tried it anyway, and got it working! I wouldn't be surprised if this method works for other android phones too..
Here are the steps to make it work (this will only work when your telecom provider is Mobile Vikings (Belgium)):
1. Connect your phone with the usb cable to the windows pc (I am using w7).
2. Put it in Portal & Tools mode.
3. Let all the drivers download and install (windows does this automatically)
4. Now go to start and type: internet options (or your languages equivalent if you don't have an english windows
5. In the internet options screen go to Connections.
6. Click "Add..."
7. Choose Dial-up (your phone still has to be connected in Portal & Tools mode!)
8. Give in the following parameters:
Dial-up phone number: *99#
User name: web
9. Check "remember this password", if you so please.
10. Connection name can be anything, mine is: Milestone modem
11. Click "Create"
12. You can now test your internet connection.
13. When going back to the Internet Options screen, remember to set the radiobutton-option to "Never dial a connection", so that you can manually choose to connect or disconnect to the modem.
14. Close everything by clicking "OK"
15. Now if you click the tray icon for wireless network connections, a Dial-up option should be available with the Connection name you gave in previously, if you phone is correctly connected, you can click connect to get on the internet.