Are you trying to use the phone as a means to access the internet on the PC? Or just to connect the phone to the computer for other reasons?
If you are just trying to connect the phone to the computer, you just need a USB cord for that.
If, however, you are trying to use the phones data as a means to access the internet on the computer, then that is a bit more complicated. And to be honest, not the best idea. Data ads up fast, especially when accessed through a computer. So if there are any limitations on your data, it would reach that rather quickly. It is also possible your carrier/service provider may well block you, should you start using huge amounts of data. Also, you will need a WiFi card for the computer to be able to work this.
If it is at all possible it would be done this way...
1. Go into "Settings" and in the "Wireless & networks" section tap "More".
2. Now tap "Tethering & portable hotspot".
3. For "Wireless Tethering" tap "Set up Wi-Fi hotspot"
4. On this new screen you will see options for a "Network Name", "Security", "Password" and "Network Band". You can change them or keep them as is. It is really up to you.
5. Now you would just need to search for the hotspot by name using the second device.
NOTE: While a Wi-Fi hotspot feature is built into Android, some service providers/carriers, especially in the United States, hide it. You would then need to see if you can locate an app that you can install to help with this.