This is how to connect to your iPhone to do all sorts of thing without WIFI router.

http://quadrofx.com/download/AdHocICS.zip

This official guide from Microsoft walk you through creating a computer to computer network using any WIFI adapter on your Windows based PC. If you have an Internet connection through Ethernet to your PC, you can even get the iPhone online through the computer.

It works with OS X too. Try exploring by yourselves. It can't be easier.

Thank you so much. I will try it right now and will let you know.
Regards,