Did you try restarting the phone?
Also, are you trying to do this using Data or WiFi? As it is possible, if through Data, that your carrier/service provider does not allow for USB tethering. Which would make it not turn on.
If it is happening while trying to tether and the phone is accessing WiFi, then I would make sure you have data turned off on the phone.
Should none of this work, then the manufacturer, or the carrier/service provider that the phone was gotten through, may have restricted this option on the device.