To use iPhone's personal hotspot (over Wi-Fi) feature you must have iPhone 4 with iOS version 4.3 or later.
You can check iOS version in Settings > General > About > Version
If your version is lower than 4.3 upgrade it via iTunes.
Enable personal hotspot on iPhone:
Settings > Personal Hotspot > ON
Note Name and Wi-Fi password.
On your laptop open Wireless Network manager and search for a new network with the name displayed on "Personal Hotspot" page.
Connect to the network using password displayed in "Personal Hotspot" page.