Would somebody like to tell me or redirect me to a thread that explains how to set up USB tethering?
There are two methods:
If you are rooted:
Use a kernel that supports it, such as p3droid's, and install the app Wired Tether for Root Users.
If you are not rooted:
Install an app like PDANet or EasyTether, both found on the Android Market. (I don't like these because they may limit internet access unless you pay money.)
Retired Stock 2.2 Rooted Droid
Rooted Droid X (Just for WiFi tether, hehe)