Bluetooth (Windows 7 & 8 only)

This is probably the simplest method.
If you are using a Windows 7 or 8 PC, just follow these simple steps:

1. Switch on your PC's Bluetooth, and your phone's Bluetooth.

2. On your PC, right click on the Bluetooth Icon and click on "Add a device" from the list of options, then pair your phone to your PC.

3. After pairing, Right click on your Device and connect through "Access point". A prompt will come up on your Android to either Allow or Deny. Allow and you're good to go.

4. For easy access, right click on your device and "Create Shortcut". A shortcut will be created on your desktop, then you can connect from there by right clicking your phone icon.

Note: You can connect your PC to java, symbian and other phones using this method.

WiFi Hotspot
Also very easy.

1. On your Android Phone, go to "Tethering and Portable hotspot". Switch on your hotspot.

2. Enter the WiFi hotspot menu and click on "Set up WiFi Hotspot" (1st time use). You can then change your Network ID and assign a password (not necessary but very important).

3. Switch on your PC's WiFi and connect to your phone... That's all

USB tethering
Here, you need a third party application such as PdaNet to create a connection btw your phone and PC. The application must be downloaded to both the Phone and PC.
*PdaNet
Download PdaNet for PC, install, you'll be asked to connect your phone during installation. This will enable it to install the application on your phone too. Complete the installation and connect your phone to your PC via USB.

Note: USB Debbuging must be enabled on your Android device when using PdaNet.