If you have a Windows* 7 PC, you can accomplish this doing the following steps: Go to: Settings -> Tethering & portable hotspot, and Select: USB tethering.
Note: The phone must be connected to the PC via USB cable.
If you have a Windows* XP PC, follow these steps directly from Google:
Windows XP contains the drivers needed to access USB tethering. To do so, first install a configuration file before connecting the phone to Windows XP computer. To instruct Windows XP how to configure itself to use those drivers:
1. Download configuration file (tetherxp.inf) to your Windows XP computer. Right click on the link and choose "Save As". (If your browser appends .html to the file name, you will need to edit the name to remove the .html extension.)
2. Use the USB cable that came with the phone to connect the phone to your computer.
3. On the Android phone, Select: Home > Select: Menu > Select: Settings to open the Settings application.
4. Select: Wireless & networks > Tethering & portable hotspot.
5. Check: USB tethering.
6. When Windows XP’s New Hardware Wizard opens, Select: No, not at this time and Click: Next.
7. Select: Install from a list or specific location and Click: Next.
8. Click: Browse to browse to the directory where you installed the configuration file downloaded in Step 1 and Click: Next. Windows XP uses the configuration file to configure itself to support USB tethering with the Android phone.
9. When Windows XP finishes installing the software for Android USB Ethernet/RNDIS, Click: Finish.
You can now use the new Windows XP local area network connection provided by your phone via USB tethering. For more information about configuring networks in Windows XP, see the documentation that comes with Windows.