IOS – How to proceed with iOS set up without Wi-Fi network

It's a security feature.

iPhones don't connect to routers that have factory default SSIDs, such as default, linksys, dlink, etc... This protects from the following: as you traverse the world, you will certainly pass by locations that are not customized and therefore have a default SSID with no password. Your iPhone would connect to these networks without you knowing. This is fine and all, unless someone is fishing for people to connect to their network so that they can read the traffic.

Ultimately, connecting to an unknown network is risky.

I think what you're trying to do is called tethering. There are several tethering apps available. They require your iPhone to be jailbroken though. Some apps are PdaNet, TetherMe, and MyWi. I know that with MyWi you can connect to the Wireless Network, turn off cellular data in your iPhone, and use it to tether without charges. -Notice, these apps are all Paid apps on Cydia, but if you're jailbreaking your iPhone there are ways to get the apps for free.