Here is how I resolved this issue. I am using Snow Leopard and Iphone modem 3 with an iPhone 3GS v3.1.2
1. Start with everything shut down to include airport and your wifi connection on the iPhone
2. Open up the Network tab under the system preferences and select the ad-hock network name you use. It will say that it can't connect because airport is not on or something like that.
3. leave it open and then open up the iPhone Modem 3 application on your computer and hit Connect. It will fire up airport and create the ad-hoc network connection.
4. Watch the Network screen until it assigns an ip address under the Status section.
5. This step may be unnecessary but its what I did. Go to your wifi setting page on the iPhone and click the arrow next to the network name and then select forget this network.
6. Change the ip address to static and manually type in the address seen on the computer Network status screen.
7. Go back out to wifi networks and select the ad-hoc network name you use. You will have to retype the password. (If you don't remember it, you can change in the options section on the computer)
8. Close out the setting page on the iPhone and then finally select the iPhone Modem 3 program on the iPhone. Here is where it finally connects.
Strange thing is that as soon as it connected, the ip address changed and after going back into the iPhone's network setting area, it went back to DHCP. Don't know if things will work better next time or if I'll have to repeat the process...