While getting assistance in another thread, I ran across this free program that does what WMWiFiRouter ($30 USD) does, but even better:

ICS Control v.21 - utility for controlling internet connection sharing

"ICS Control is a GUI front-end for Internet Connection Sharing, a component of Microsoft Windows Mobile. It can be configured to do a variety of things including sharing your cellular internet connection over an adhoc WiFi network."

Here are some Internet speed test results I received via my EVDO (Alltel) connection on my HTC PPC 6700 (WM 6.1) with my N800:

Using Bluetooth-Pan: ~165 kbits/sec
Using WMWiFiRouter: ~250 kbits/sec
Using ICS Control: ~350 kbits/sec