First of all go to Settings. Then in "mobile networks" check if the the Data Connection is on. After that in Settings you have the "internet sharing" option. Turn it on. It should work.
If you're asking how to tether your PC to your phone via USB, you can't. Windows Phone doesn't support this. You can only tether via WiFi. If your PC has a wireless card, then WiFi tethering will do the same thing as USB tethering - it will allow you to access the internet on your PC via your phone's data connection.