Not sure if you mean you are trying to connect to a hotspot (eg a phone) or trying to turn the car into a hotspot itself. If its the later, then I don't think you can do that unless you buy VWs 'CarStick'.
Do you have a gen2 system (6.5in screen vs 5.

? As I don't think it comes on the gen1 system at all from my limited understanding.
I've also got a late 2015 GTD which I got at end of Jan. If you press the menu button, so that you get a list of the main items on screen (radio,nav,etc) then swipe along to the far right there is setup. Both the sub menus for connection to a hotspot or setting up the car as a hotspot (providing you have the carsick) are in there.
I've tried to get mine connected to a hotspot to get the car-net to work and have failed miserably so far every time... don't think its my phone as the hotspot on it works fine with my Surface3 windows tablet. I even tried parking close enough to the house so I could connect to my main WiFi... the car could see it but the signal was too week.