Install PdaNet+ directly from Play Store.
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.