First of all connect your cell phone to the computer using data cable, infrared port or Bluetooth Protocol. On the phone needs to be activated using the phone as a modem (varies depending on manufacturers and models).
Go to control Panel of computer and click on tool phone and modem options".
Click "Add" and install the modem drivers for your phone model. Specify the port to use the modem.
Now open the properties of your created modem and, if necessary, add to it the setup the initialization string for each individual network operator).
Configure the connection according to the settings of your mobile operator.