@Thecoolguy01 

I assume this is on an iPhone?

If so, you have to actually select for Security as WPA/WPA2- Personal AND not use AUTO but the WPA2-PSK and AES selection, like this:

That should fix it.

My settings are correct, and I only have the one router without other access points, but it still says weak security

@padawanduck 

Yeah, Tether isn't for everything. Not all 'features' are included.

Go to Tools, Advanced Features, and click on the link. It will open a browser and once you log in, you can handle that under Wireless.