You'll need to jailbreak your 4S if it's not on iOS 6.0 or 6.0.1. If you use the personal hotspot that's incorporated in iOS 6, you'll need a tethering plan or an opened tether port from your carrier.
I have a 4S from Verizon, running 5.1.1 (never downloaded 6). My personal hotspot works fine. Used it in the car with my wife's iPad, driving to and from Florida in February to find motel rooms.