Here are the correct steps:
Important: You must use the USB cable that comes with your phone.
Tethering works with Windows® 7, Windows XP, Windows Vista®, and Mac OS X. For more information about tethering and operating systems, visit www.android.com/tether.
For Windows XP, you must install the appropriate driver on your computer before you can tether. To install the driver, go to http://tinyurl.com/GS2Tether
Note: When you connect your phone to your computer with a USB cable, you can either tether or access files on the phone’s memory card, but you cannot do both. If you want to use your computer to access the memory card, you must turn off tethering.
Tether Your Phone
To share your mobile data connection with a single computer by tethering, follow these steps:
- Connect a USB cord to the phone, then to a computer.
- If necessary, tap the Home key or the Back key (do NOT select a USB mode).
- From any Home screen, tap the Menu key.
- Tap Settings .
- Tap Wireless and network .
- Tap Tethering and portable hotspot .
- Tap to select the USB tethering check box .
- Read the alert and tap OK.
- When done, safely disconnect the device from the computer.
Your phone starts sharing its mobile network data connection with your computer via the USB connection.
Here's an update: I am able to tether when booted in Windows. Strangely enough, I'm also able to tether in Linux when the phone is connected to a wifi network (disabled PC's internal wifi adaptor). However, when connecting to the 4G network the phone connects for a second then disconnects. So it's looking like a Linux problem. I'll post whatever I find out here in case someone else has the same problem down the road.