Some hotels don't have wireless internet connection and they only have a wired LAN and unfortunately, iphone can't connect to the internet via the usb unlike windows mobile phones.
Here's how to setup a wireless adhoc network on windows xp and connect your iphone to your laptop to use the LAN.
Go to wireless network connection properties,
Add... a new Preferred networks:
Enter a new SSID, wireless network key of your choice,
Then click ok
Next, Highlight both your LAN and Wireless Network Connection
Right click and create a network bridge
Done!
You should see that your wireless Network Connection is not connected but the Network bridge is connected when you connect your phone.
This should work like a normal wireless router and no additional configurations should be needed on your phone.
Cheers!