Depending on which country you are in. Here in Australia, i go into settings, then hit Personal Hotspot and then connect my MBP to that Hotspot, that WILL have a password on it.
IF your say the US, you need to have a deal with your Cellular Provider to have a Tethering Deal in your contract (Please US folk correct me if im wrong).
As to other countries i have know idea what so ever, but if you have Personal Hotspot on your phone under settings, then tap it and follow the prompts. If not, you might have to Jailbreak the iPhone and do it that way.
HTH
Cheers