Hi,
Apple refers to Tethering as "Personal Hotspot". It relies on drivers delivered with the latest version of Itunes.
http://support.apple.com/kb/HT3574
Check here for the manual to setup tethering:
http://www.apple.com/support/country/?dest=manuals
I would recommend removing the existing connection with your phone and then uninstalling and reinstalling Itunes as a first step in troubleshooting.
If that is not succesfull, check Windows update and your computer manufacturer website for possible driver updates.
MCP/MCSA/MCTS/MCITP