They need to be connected to the same wifi network, then try this link
https://alexa.amazon.com/spa/index.html
for first setup if the alexa is not in setup mode push and hold the setup button until an orange ring appears, then the PC can connect to it direclty via Wi-fi
I don't think you can do it without some sort of wifi connecton though.
Great device, terrible software. I used my android phone to set mine up and there's been a lot of swearing.