This is an old post but I'll answer it anyway.
While connected to your computer, make sure activesync isn't running
1. go to start
2. internet sharing
3. make sure it says usb for pc connection (unless you want to try bluetooth)
4. and click connect
AND thats it
There's really no point since you have a computer right there, but it works.
I'd stick to wi fi for the phone tho
