It means you'll be left wide open to all kinds of not nice stuff a secure site would block.
It actually means that you can't access https sites like logging into Email or Facebook, but you can still access things that you don't have to log in for - i.e. search engines, wikipedia, reading forums (Just can't log in) etc, youtube browsing and streaming.
Also, I have a first generation Android and PDANet works fine with it - I believe there are versions coming out for Blackberry and iPhone platforms in the future, maybe even Windows Mobile, but not certain - Haven't looked at the site in a while.
You just need the USB charger cable to use the tethering. You activate PDANet on the phone, enable USB Debugging, and then hit "Activate USB Tether" - Then you just plug it into the computer and run the program on the computer. It's pretty simple, and once USB debugging is enabled you can leave it toggled.
One note - Depending on your phone's power pull and signal strength in the area, sometimes PDANet uses slightly more power than the USB cord can replenish, so you'll have a slowly dying battery, but I can use my connection for eight hours at a time on some days, and my phone's battery life hasn't suffered for it. It routinely runs for days at a time when I'm not actively calling people, and I've been using PDANet for six months now.
There _is_ an option to enable bluetooth tethering, but you do have to root your phone for that option, or at least on the version I originally started with. Then you can use it as a bluetooth hot spot, depending on if your device is compatible. Again, I have a first gen phone and it's fine, so it should be fine with consecutive versions.