We heard a while back that Nokia would be releasing an update to the Nokia Lumia 710 and the Nokia Lumia 800 which would add the Internet tethering feature to both devices.
It looks like Nokia is getting ready to release the update, according to the guys over at The Verge, the update is now available for some versions of the Lumia 710 and the Nokia Lumia 800C, which is the Chinese variant.
There are no details as yet on when the update will be rolled out to all devices, and it is expected to come with the Windows 7.5 Refresh update which is also known as Tango.
Source The Verge