Take a look to this: Share my connection | Windows Phone How-to (United States)
Your phone is a AT&T version or the international? If it's the US version, most of the time the internet sharing is locked and not accessible.
There is some things you can do about it:
If your phone is a L520 from AT&T
Or you can try some app solution to that problem.
Goto settings access points and create a ma,ual apn by yourself, remember I meant "manual" apn by yourself activate it, reboot and try sharing again