Which iPhone do you have? If you have the iPhone 3Gs, you have to use Bluetooth. If you have the 4 or 4s you can use the WiFi.
Make sure that you do not have any special characters in your phone's name (Settings - General - Name).
If you use the Bluetooth option, you have to pair the two devices then on the tablet. Once paired go into the settings of the bluetooth pairing on the tablet (click the wrench or sliders on the right hand side) and enable for use with the internet.