I would like to ask whether you are using 2G or 3G sim and which service provider?
I am using Airtel GPRS 2G sim right now.
I have also bought 820 recently and I am unable to use internet sharing feature at all. Few of collegues are also facing the same problem.
When i put my sim in lumia 800, it works fine but not in 820.
I tried using a vodafone 2G sim in my 820 device.
Internet sharing feature worked.
with Airtel 2G its still not working. Something seriously wrong between 820 and airtel it seems