Works on 3GS but it's carrier dependent
So it's that. If your carrier supports it, it will show up automatically on "Settings->Network", and also on the main "General window". But on the 3GS you can only connect via USB or Bluetooth, not Wi-Fi, I don't know why.
I have three SIM cards, and it works on one and not on the other two. That's how I know it depends on the carrier 🙂