PDANet is an application that is installed on your Winslow computer and to your Android/PDA device. Its purpose is to allow you to tether the computer and PDA, ultimately allowing you to surf the net or whatever using the PDA as the Internet source.
PDANet works on devices that are not rooted and on devices that are rooted. Installation is normally without any problem. It is not fast, but works ok. I have used it since the days of Palm and it was one of the first paid apps I went with when I got an Evo. The application is tied to the PDA, not the computer, so you can use it with multiple computers, just not multiple PDAs. I have never been able to get it to work with Bluetooth, only USB.
If you are rooted, try Wireless Tether. It works without cabling, setting up your PDA as a wireless router, much the same as your home router, abet a bit slower.
I have both installed on my Evo and there is no interaction between the two. Is it worth purchasing? Yes.