Handful of pre-mango Windows Phone devices get tethering support
Though internet tethering is added to Windows Phone 7.5 (Mango), most using devices that were running Windows Phone 7 didn't get tethering capability even after updating their phones to Mango. The reason is that device manufacturers/carriers need to add new Wi-Fi drivers for these devices and they also have the option to provide or deny internet tethering.
The following devices are now getting updates that enable internet tethering.
HTC Mozart (O2, One Call, Telenor)
HTC HD7 (O2, T-Mobile)
If you are using any of these devices and find OS update waiting to be installed, it's probably to enable internet tethering