All Nokia Lumia phones have the feature to share phone's internet connection over WiFi (tethering) with up to five other devices or computers. Lumia 800 and 710 has got the Internet sharing with the Software Update that began rolling out on June 27th 2012.
To use your phone as a modem:
Note: The connection automatically turns off if it is not used for a few minutes.
For further assistance, use the search field on this page to find the separate FAQ article: I have problems using Internet sharing on my Lumia. What should I do?
Also check out this video (English) on YouTube with instructions for sharing your mobile data connection.