RiNcOnNs, am I wrong when I say the opposite of you.
You can connect to internet via USB cable and Active Sync.
If I am wrong, correct me, please!
To solve this issue without downloading or using any extra piece of software:
1. Through Settings > All Settings > Connections > Connections
2. select Advanced > Select Networks > then choose My ISP as your internet communication method
3. choose New > enter any name you like then select a modem type "Hayes Compatible on COM1" or any option rather than Cellular GPRS, 3G.
4. the trick, just enter *99***2# in the required phone number as this is a Windows-based code to directly call a device for internet connection where you can replace the number 2 with any other number for multiple sharing internet connection with different devices at the same time.
Now everything may work just fine
Important notes:
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Make sure that:
1. in the "Network Connections" in Microsoft Windows XP or Vista you have a new icon of "Internet Connection" under Internet Gateway that appeared once you have connected your HTC in ActiveSync or WMDC 6.1 modes.
Hint:
you can use Internet Sharing application installed in HTC in order to create a new ISP connection profile instead of going through Connections option.
You are all experts, so I am possibly doing this wrong.
Anyway, I hope this note was helpful for you