Is the option available with your plan? Usually, the phone will check with the operator to see if you have tethering/hotpsot provisioned with your plan.
snn_555 is correct, tethering will not work if your specific plan does not have a smartphone mobile hotspot feature. Luckily though, many of our plans do have some form of mobile hotspot option included. Do you happen to know what plan you are on now?
I know you said that this is happening with USB tethering, but have you tried using the Wi-Fi hotspot yet? When you plugged you phone into your computer for the first time, were you prompted to download any drivers as outlined here?
Just wanted to check in one last time to see if the suggestions and info above were helpful at all!