If you have Sprint your carrier has delisted PdaNet+ since it avoids their tether plan. You have to either

A. Download and install PdaNet+ on computer from http://pdanet.co/a, or

B. Install on phone using these steps:

1. Uninstall the existing version of PdaNet+ if you already have it.

2. In phone Settings->Security make sure "Unknown Sources" is checked.

2. Tap here to download the PdaNet+ apk file.

3. From phone notifications select the downloaded file. This will install the latest PdaNet+.

A is recommended if you are connecting a computer since it will also enable USB mode.