Just tried the built-in USB tether on my Evo 3D. I think I can explain why a few people appeared to have it work, but most people don't.
In short, I plugged in USB, told the phone to do USB Tethering, Windows host, installed drivers on the Windows computer from HTC Sync. Turned off wireless on the laptop, and it seemed to work! I could get to the internet on the computer when the Evo 3D was plugged in, but not when it wasn't. But wait... how come I can still ping other machines on my LAN?
Yes, it turns out if Wi-Fi is connected on the Evo 3D, you'll actually be sharing your Wi-Fi over USB to your computer. I unplugged, turned off Wi-Fi on the Evo 3D, plugged in, and chose USB Tethering and got the lovely "Not subscribed to Hostpot (sp)/USB tethering service" window on the Evo 3D.
If you're able to do it with Wi-Fi off on the Evo 3D, then please speak now
Hope that clears up some of the confusion. I think I'll look into those apps now...