I don't know which end you need help on, setting up a tether or connecting a game box to one.
Connecting the PS is the same as connecting it to any router. You connect to the router's base IP address, with the device's ending (like 192.168.1 with an ending of 05). But you need a tethering program on which you can forward ports, since most game boxes need ports forwarded.
As far as setting up the program, it's basically a matter of finding it on Play and installing it, then forwarding the necessary (that being determined by the particular game box) ports.
If your carrier is Verizon, though, forget it. They block tethered connections. And no, there's nothing you can do about that ob your end since they block them on their end. (TMo and VM may be doing the same thing, but all I've heard so far are rumors.)