you set up a PAN using bluetooth. There are four check boxes under the Advanced tab. One of the is
"Share my internet connection with other bluetooth Devices" which would seem to be the clue here.
What happened when you checked that box?
As Bob asks, does your phone support such a thing?
FWIW, I have just run through the setup procedure on my Leopard Mac, using the instructions I gave you and the others that followed when I did what those instructions said.
After pairing with my iPhone (1st Gen), I was informed that the iPhone did not have any services that could be used with a PAN.
That said, the iPhone is capable of joining any WiFi network, secure or otherwise, without the need for any interaction from a computer.