On 3G it's called "Internet Tethering" and not as "Personal Hotspot"
You need to enter "APN settings" in "Network settings" which can be obtained from your carrier. Also note that "Internet Tethering" is an operator dependant feature. Make sure your carrier offers this service.
To see if your carrier supports "Personal Hotspot/Internet Tethering":
The setting to set up a personal hotspot is in Settings>General>Network. It won't be visible if you don't have Cellular Data turned to On. Personal Hotspot is not offered by all carriers; you can check to see if yours does by looking here: http://support.apple.com/kb/ht1937.