I want to connect pc with mobile

What you want to do is called "tethering". The steps involved depend upon your phone model and carrier. This link gives you T-Mobile's settings for a Samsung Exhibit but should be fairly representitive of the steps involved (not many)
which says...
"Tether Your Phone
To share your mobile data connection with a single computer by tethering, follow these steps:

1) Connect a USB cord to the phone, then to a computer.
2) If necessary, tap the Home key or the Back key (do NOT select a USB mode).
3) From any Home screen, tap the Menu key.
4) Tap Settings.
5) Tap Wireless and network.
6) Tap Tethering and portable hotspot.
7) Tap to select the USB tethering check box.
8) Read the alert and tap OK.
9) When done, safely disconnect the device from the computer.Your phone starts sharing its mobile network data connection with your computer via the USB connection."

If that doesn't seem to apply, google thethering and your specific model phone - if it can be done (some phones can't), there should be an abundance of results. Hope it helps