PDANet is a tethering tweak available in Cydia, the jail breaker's "App store.". And, you have to be jail broken to use Cydia.
So, to jail break the 4S, head over to the jail breaking section and look for the tutorial on jailbreaking the 4S with Absinthe. I'd post a link, but there are three different tutorials, depending on whether you have a Windows, Mac or Linux computer...
Good luck.
Marilyn