Well some of this worked.

I need a lesson on a few things and I'm sure I can get the rest to work.

I found the "internet sharing" shortcut in the windows directory of the device using file manager. I opened it and it came up with a screen like you said and I hit connect. My computer found a new device and did it's install. I then had a new device in my network connections list.

I would think this means it's working.

How do I put the shortcut in my start menu list of the phone? I tried to copy it but it said access denied.

I tried to use firefox (IE on my laptop is configured to use the company proxy and I don't really want to change that) but it doesn't find the internet. Not sure what I need to change. Help?

Is this designed to use your computers internet connection and share it to your phone, or your phone's internet connection and share it to you computer? I want to do the latter.