If you go to Start\Programs is there an icon that says Internet Sharing? If there is then plug your phone into your compuer, on your phone, click on that icon, and down at the bottome of the screen there should be CONNECT. If you press that it will connect to the internet and the computer should treat it like a network and connect as well. This is the process that I have used on mine and other WM phones. I guess the next question would be are you running windows on your computer?
Hope this helps