are you paying the +$20 a month for it from AT&T?
That is the only "official" method for tethering...
You must do two things, the first is get on the $25 limited plan for 2gb data a month and then add tethering for an extra $20 that gives you absolutely nothing other than enabling that button.
of course the pricing is complete BS! but for the majority of people the 2gb will be just fine.
Read up on it here:
http://www.att.com/shop/wireless/plans/data-plans.jsp