Not all devices are capable of tethering that way. You would have to check the manuals for both devices.
Another way to do it would just be to use one device (which ever has the service, assuming is phone) as a hotspot and connect the other device to it. Should you wish to try that, the instructions are as follows.
If it is at all possible it would be done this way...
1. Go into "Settings" and in the "Wireless & networks" section tap "More".
2. Now tap "Tethering & portable hotspot".
3. For "Wireless Tethering" tap "Set up WiFi hotspot"
4. On this new screen you will see options for a "Network Name", "Security", "Password" and "Network Band". You can change them or keep them as is. It is really up to you.
5. Now you would just need to search for the hotspot by name using the second device.
NOTE: While a WiFi hotspot feature is built into Android, some service providers/carriers, especially in the United States, hide it. You would then need to see if you can locate an app that you can install to help with this.