Which iPhone do you have? Do you have tethering enabled by your carrier?
I know in the US you have to pay for tethering, or jailbreak your phone and install a tethering app through Cydia.
Also, are you using Bluetooth or WiFi? If it is WiFi is it an Ad-Hoc connection? If it is Bluetooth, did you go into the bluetooth settings and enable the iPhone to use for internet on the tablet?