For most phones install PdaNet+(which contains FoxFi) straight from Play Store.
If you have Sprint, Boost Mobile or AT&T the above listing will probably fail to show or install in Play Store. That is because your carrier has delisted all tethering software in order to force you to pay for a tether plan. In such case try to download and install this apk file directly on your phone.
You can also install the desktop installer on Windows from http://pdanet.co/a. The desktop installer will push the app to your phone during installation.