Do you even see Tethering there? Because you should... if not then there's something wrong with your firmware.
Once you click it, it says something along the lines of "Please contact Rogers to enable tethering". You need to contact them and have them add the SOC code (Free tethering promo code, expires December 31, 2009) to the account and it should work after a reboot.
If not, do what I did and install a custom IPCC file, I've been tethering since 3.0 GM was release.