Why won't tethering start on my phone

First, check that you have root permissions. When you open Wifi Tether for Root Users, you should see a message warning you if you do not have root permissions.
If you have root permissions, but still cannot start tethering, it may be an issue with either the tethering binaries or your tethering settings. From the main tether screen, try going to Menu->Setup->Menu->Reinstall binaries/configs.