Agreed, none of what's listed in this thread works for me at all. Android phone and Windows 10. Everything that I don't need to download to the phone (i.e. the tracks on Spotify) downloads fine, anything local to my PC just stays greyed out an won't play anywhere else. I'm not convinced it's actually possible.
I can't find the answer which said try turning on personal hotspot in settings. I had tried all the other solutions and none worked but simple solution of turning on hotspot in settings did the trick instantly for me - thank you whoever it was who suggested it!