Google has decided to integrate the feature into the Android OS in the Froyo 2.2 release, so any version above that should have it. For versions below 2.2 you may try and look for apps that require root to do the job.
In this post as an example I will be explaining the location of this feature based off Gingerbread 2.3.6
Also please note that location of these settings may vary on your Android version aswell as device.
Instructions:1. Begin by going to Settings.
2. Somewhere within the first options you should see Wireless and network
3. When you go there, look for Tethering and portable hotspots, go there.
4. Once there, you should see an option Portable Wi-Fi hotspot, enable it.
5. Then beneath it you should see the option Portable Wi-Fi hotspot settings, go there, then go to Configure portable Wi-Fi hostpot.
6. You should get a popup in which you can change your network's name, it's security aswell as the password if you're planning on using security.
Now begin scanning for networks with your laptop and it should find it.