Nope, just got it working over Bluetooth! No Desktop software required!
This article helped me, although it wasn't EXACTLY the same as this.
Just need the fido APN which is easily searchable...
When I had a BB 9000, I could only ever get it tethering via USB. With this 9900, nothing worked until I tried the URL above.
Fido told me before that tethering is "always enabled" for their BB data users. They just don't support it.