How can I connect my MacBook Pro using my personal cellular 'hotspot'?

I am a brandnew user of MacBook Pro (iOS 10.8 Mountain Lion) and am clueless!! I've never used anything but Windows OS's. I am attempting to connect to the internet using my cellular phone's 'hotspot'....no connection. I then tried to connect via tethering, using the USB cable between the phone & the Mac....still not connection. The phone "sees" the Mac, but the Mac is not "seeing" the phone. Is there something in the computer's settings I need to change?? Thanks for any & all input!!