To use iPhone's Internet on Laptop

[Asaph]

I have Apple's iPhone with an Internet access to it. I have HP laptop at my place without any internet access or a router. Can I use the internet connection of my iPhone to my laptop ?

[Milton.J]

To use Internet Connection of your iPhone on the laptop -
first you need to start up an ad-hoc network.

Start Up an Ad-hoc Network
This process differs depending on what operating system you are using.

If you are using a Mac, just click the Airport icon in your menu bar and click on Create Network. Then just give your network a name and—if you like—a password.
Once you create your network, your computer won't be able to connect wirelessly to any Wi-Fi hotspot, just other devices.

[Snake08]

To get your iPhone and laptop connected, you will need to connect your iPhone to the ad-hoc network as created above.
To do so, go to the Settings application, tap Wi-Fi, and select your ad-hoc network from the list of available networks.

Once you are connected, tap the blue arrow next to your new network to get info on your connections—namely your IP address. Write that puppy down because you will need it in a second.

[Snake08]

You have to install SSH server on our iPhone. From here, you have to follow the previous guide to encrypting your web browsing with an SSH SOCKS proxy.
Open up your command line application of choice and enter the following:
ssh -ND 9999 root@YourIPAddress
where YourIPAddress is replaced with whatever you wrote down above.

If this is the first time you are SSHing into your iPhone, it may take a bit for your secure key to be generating, so give it at least 30 seconds. You'll be asked if you're sure you want to continue connecting (answer "yes") and then you'll be prompted for a password. At the time of this writing, the default password for OpenSSH on your iPhone is alpine, though you should change the root password when you get a chance.
After you've entered the correct password, the prompt will appear to hang. That's actually what should be happening, so you're on the right track.