If you're running iOS 7, or have already used Personal Hotspot on your device, you can skip this step.
Otherwise, about halfway down the screen, you'll see a button labeled Set Up Personal Hotspot (it will only read this before you've set one up the first time. Once you've done that, it will simply read Personal Hotspot). Tap it.
If you haven't added the Personal Hotspot service to your iPhone's data plan, or don't already have tethering enabled on your account, you'll see a pop-up instructing you to add it. Do this by calling your cell phone carrier or adding the service via your web-based account.