Both work fine, MyWi has a pretty interface but has no means of masking traffic from Verizon to show that you're using the connection unauthorized. TetherMe has a way to mask traffic, but its method is questionable.
You need to be jailbroken. Now you understand why people need a jailbreak. You can't do anything but play Angry Birds on a stock iDevice
iTether app is the only legit way to get tethering on a non-jb iDevice. but since they pulled it out of the App Store, the only way to get on it on your iDevice is to jailbreak it and install Installous. find the app there then install the DMG file on your computer. it works via USB tethering.