There are a couple of things that you'll need to connect to the internet using your mobile phone:
1) A USB Cable or Bluetooth connection to your laptop. If you don't have Bluetooth, then you'll also need to find the drivers for your phone to get your Windows computer to recognize it as an internet device. That is usually taken care of by step 2.
2) Connection software. Sometimes you can use a modem connection within the computer and have it dial #777, but it's much easier to facilitate the connection through your providers connection manager.
3) The feature that allows you to connect to the internet. Some providers don't require a special feature to use your phone as a modem, and is provided for you in the cell phone carriers data plan. Check with your carrier to be sure.