I must admit that I didn't realize that Lightroom could be used for tethered shooting (I don't own a copy of Lightroom). Looking at the supported camera page: http://helpx.adobe.com/lightroom/kb/tethered-camer... it seems they only support Nikon and Canon cameras.
I don't tend to use tethered shooting much, but when I do, I use the Canon software that came with the camera. I know that Nikon charges a lot for their Camera Control Pro software. So if I wanted to shoot Nikon tethered I think I would look to purchase Lightroom, since it does so much more than just tethering.
I have also tried shooting tethered with a tablet computer. For this you need to use one of the apps available, since Lightroom is not available for iOS or android.