The checklist is pretty simple:
1. Check if you have an iPhone4 <- verrry important
2. Check if you have the correct
APN settings for your carrier. This setting can be found in Settings->General->Network->Cellular Data Network. Make sure too, that your account is provisioned for mobile internet connectivity (see posters and print ads for details)
3. Make sure Cellular Data is set to ON. This can be found under Settings->General->Network. For even faster speeds, 3G is preferred to be ON as well (if available)...
4. Make sure your account has enough credits (load)
Do the above and you should be good to go with the Personal Hotspot feature.
Lastly, before you
start to complain about your bills skyrocketing or your load being spent, make sure to turn OFF Cellular Data when you're done using this wonderful new feature
Oh, by the way, i did forget that you need to turn ON Personal Hotspot. Make this #5 on the checklist
Note: this works for both postpaid and prepaid

.
Update: i forgot to mention, a Reset Network Settings also helps
