After reading your post, I tried connecting a Win 7 laptop via the Hotspot.
Most of the work was on the Windows side. I had to choose the proper security type (WPA2), for "personal" security, and select "none" for "enterprise security. That allowed me to connect to the phone, but it showed "No Internet." I went into the Control Panel -> Network and Sharing Center, and it showed a red X between the "multiple networks" icon and the Internet icon. I hovered over this, and selected "Repair" and it did its magic and started working.
Gotta love Microsoft.