To connect to the Internet using a mobile phone, you need to make sure that you have a phone which has this features. For example, most of the Android phones have a USB tethering option that can be enabled from Settings > Wireless. Connect the phone to the PC, enable USB Tethering (after you've installed the driver for your phone) then Windows/Mac will automatically assign an IP address and stream Internet. Data connection needs to be activated on your phone to actually browse the Internet.
