gozalim- Here's how it works:
Bluetooth supports many different kinds of connections (called "profiles"), and although all bluetooth devices are compatible with each other, they don't all support the same profiles.
The PAN (Personal Area Networking) profile allows you to create a network connection over bluetooth, a virtual LAN, so to speak (devs call it WiFi mini). However, if you're familiar with networking, you will know that just having two computers on a network together does not necessarily share one's internet connection with the other.
It is also important to realize that the software stack (bluetooth drivers) don't all support PAN. If you are using the native Microsoft stack on your PC, last I checked I think it did not support PAN, only virtual Serial Port and Dial Up Networking (things may have changed since then, especially if you're running Vista). If you are using a third party software stack, such as BlueSoliel or Widcomm, you're probably good to go since they try to include all known profiles.
But even if you create a network connection between the computer and device, you still have to tackle the problem of sharing your internet connection. This can be done using windows' ICS tool if you have it, or even with the old-school proxy server method. Whatever the case may be, you'll be fiddling with the host computer for a bit to make this work.
Honestly, bluetooth activesync is a FAR EASIER approach, since it just uses a virtual serial port (which every BT stack supports), and tells Activesync to just use that port. One you do that, Activesync does the rest of the dirty work for you. Yes, you'll have to install Activesync, but that's easier than installing a new BT stack or messing about with Proxy Server apps.
I use BT activesync all the time, personally- I only bother with the USB cable when I want to flash the firmware to a new version. Its great- walk in the room, hit the connect over BT button in activesync on the phone, and the PC springs to life and connects you. I don't know why you found it moody, once you get it set up properly.