Nokia has confirmed that they are working on adding tethering support on their Lumia branded Windows Phone smartphones in the near future.
The company said:
It will be in coming soon for 800 and 710 via Zune update, for 610 and 900 it will be available at launch.
Of course, tethering support would also depend upon the carrier in most markets.
Google Android and Apple iOS devices already support tethering which meant that Microsoft is playing catch-up here.