Wait a minute. Which one is connected directly to the internet, the PC or the mobile? And what app or method are you using to get internet to the other device (app, hotspot, etc.) Just connecting an Android device to a computer by USB doesn't connect them both to the internet.
If you're trying to get to the internet on your PC, then as srkmanus said, you have to be running a tether app on your mobile that allows USB connection to the PC. Some tether apps don't tether via USB.