Make sure to download the latest carrier settings via iTunes: connect the iPhone, click “Check for Update”, you should get a dialog similar to this:
To enable tethering go to Settings, General, Network, Internet Tethering, slide to ON. You can connect using the USB cable or bluetooth.
If you are having problems: make sure you are using a Mobily SIM card. If it asks you to contact Mobily try to restart the iPhone once then try again. If it continues to ask you that then call Mobily (phone number: 1100).