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

I am trying to figure out....Can I sync My phone with my computer and use my computers internet access(on my phone) because I dont have internet on my phone?