If you haven't added the Personal Hotspot service to your iPhone's data plan, or don't already have tethering enabled, you'll see this pop-up instructing you to add it.
Adding Personal Hotspot can be a bit confusing because it's not offered as a separate option for the iPhone's data services. Instead, you'll need to add tethering to your iPhone data plan, as it supplies both tethering and the Personal Hotspot service. You can do this by calling your cell phone carrier or adding the service via your web-based account.
