The internet connection sharing app is in your Windows folder.
It is "IntShrUI.exe" or the "internet sharing" shortcut.
You can create a shortcut to it and place it in your Start menu so it will be easier to find

Check to ensure that the USB connection on your phone is set to "ActiveSync".
Then connect the USB to your phone and let it sync.
Make sure it doesn't disconnect after synching.
Finally, open up the internet connection sharing app on the phone and set it to "USB" and click on connect.
Thats all