When I click on Internet sharing on my Windows phone, it tells me that Internet sharing is not currently available.
I don't know what country you're in, but in the UK your provider needs to have the feature enabled on their network. You may not be on a plan that allows it.
try this applicatio: Access Point
1) Install then go to settings > cellular scroll down and click on add internet apn/ edit internet apn
2) Enter the correct apn setting for your network
3) Go to setting > access point its at the end in the settings menu, it will show your available network click the right network and activate it
or download from Nokia
Install or upgrade the Access Point app on your Nokia Lumia