Hi,
Thanks for your question. My name is Rofel and I will assist you with your concern. In addition to Himanshu Arora solution please follow the steps below and check if you will be able to connect enable your hotspot.
Go to the settings menu:
In settings, you'll see a 'personal hotspot' menu item. Tap it.
In the personal hotspot menu, slide the "personal hotspot" option to "on"
Note: Apple has allocated the connection a default password which is shown on this screen too. You can either use it (as each iPhone 4 gets a different random password) or change it to something you can more easily remember by tapping on it.
Then, on your computer's Wi-Fi menu, you should see your iPhone pop up in the list after a few seconds. The network name is the name of your iPhone in iTunes.
Once the network is selected and you've put in the password you selected in the last step (or Apple's default password), you'll be able to connect your tablet, laptop and any other Wi-Fi device to the net via your iPhone's data plan.
If I were able to assist you with your concern please click on the green Accept Answer button below my first response so that i get credit on helping you. Let me know if otherwise, so we can continue troubleshooting.
Thanks