Yes it is VERY possible. I did it with my wife's MB and my Treo 750 on our way to a hotel to confirm directions and reservations.
On the WM device there's an "Internet Sharing" icon that will allow (at least on both Win and Mac) you to use it as a 'DUN' of sorts.
You just need to connect it via BT and turn on the internet sharing. The "Services" that are communicated between mobile device and your Mac should automatically register as internet connection on the Mac.
Believe me it's very much possible.