First, you have to connect the mobile to the PC and install the required drivers.. Then, next you gotta create a connection so that you can connect through the mobile GPRS.. Here's the procedure on how to do it..
1. Go to Start --> Control Panel --> Network Connections
2. Click on Create a New Connection.. You will get the following box. Click on Next.
3. In the next box click on Connect to the Internet.
4. In the next box Click on Set up my connection manually.
5. Then click on Connect using a dial-up modem. Then click next.
6. Type any name you want in the ISP name box. Then click on next.
7. In the Phone number box enter *99***1# and then press next. (Before this step if you get a box to select your modem than click on the modem representing your mobile. Ex: if you have a motorola cell then it will be like motorola usb modem)
Update: If the given number does not work try *99***3#
8. Leave the username and password blank and and click on next then finish.
9. Connect using that connection and you will be connected to the internet!! :)