I am not aware of any way to do this using a physical connection. If your PC had WiFi capability you could create an AdHoc network and use your phone as a game controller that way.
I would recommend buying a WiFi card for your computer, but it is incredibly hard to play games this way even if you got it working. FPS and RPG games in particular are next to impossible to control.
The investment would be better spent on a wired Xbox 360 controller to plug into your PC.