It's not unusual for corporate laptops to be set up to not allow connections to ad hoc networks (what MyWi creates) for security reasons.
Open the Properties page for your wireless connection in Control Panel, click on the Wireless Networks tab, click on Advanced in the lower right. This will show 3 radio buttons which describe the kind of wireless networks you can connect to. I can select ad hoc, but GPOs prevent this change from being saved.
NOTE: This is on a WindowsXP laptop.