Hi Rahul
first of all make sure you have HSCSD feature in the mobile network which allow the dial up connection to internet using mobile. If your phone has an inbuilt dialup modem, there must be a feature to activate it. I assume you have already installed the necessary Drivers etc in your PC.
You have to crate a Dial up network connection on PC specifying the number to be dialled, username, password etc the way setup a normal dial up connection. Make sure that you chose your Phone as Modem for this connection.
Now you should be able to connect net using your phone -> connected to PC via Data Cable.
Above may sound immmature to you since am not sure if you were looking for it or some other details.