Make sure this is what you are doing...
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 Wi-Fi 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.