I use 3G, Android 2.2, LG P500 phone. I've tested it on Windows 7 and Windows XP, the result is the same. After several minutes the connection dies and I need to switch off/on the USB Tethering option to restore the connection.
This is most certainly due to network restrictions.
For instance 3G connections on Orange (UK) are dropped if you hit it with "too many" requests in a short period of time. This is very easy to do with a PC, just open a dozen tabs on a browser and the 3G connection is dropped.
I've found solution. I.e. I found how to organize stable internet through my Phone using 3G. It could be done by LG PC Suite, Tools->"Internet Connection Using Your Phone". It works without needing to switch anything in Phone. But I still wondering why simple USB tethering doesn't work.