Connecting to internet using my sony ericsson via usb cable

First of all, you need to download the official PC suite for your mobile phone and then you can further proceed to connect your phone via USB and open the PC suite.
Depending on the version you download, you can go to the help of the program and it would give you detailed instructions on how to use your phone as a modem.
Let me know if you have any other problems with this.
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You need to download this first. Let me know when you have installed this:

Update Service

Update your phone for optimal performance and get the latest enhancements. Regardless if you have the latest software, it is a good routine to run Update Service to improve software stability. Also, if you experience problems with your phone this may be solved by a software update. It's easy to use Update Service, just run the application and follow the instructions.
More information and support for Update Service.
Requirements

Internet connection (preferably broadband)
USB cable
Intel Pentium 4, 2.0 GHz or higher, AMD Athlon
500 MB free hard disk space.
512 MB RAM
1 available USB 2.0 port
Windows XP (Home or Professional) with SP2 or later.
Microsoft Windows Vista (32/64 bit).
Microsoft Windows 7 (32/64 bit).

Download now

File size 39.3 Mb
Download time approx. 1 minutes or less on your current connection.

Installation instructions

Download the installation package to a temporary folder on your PC.
Run the downloaded file, and follow the instructions that appear.

How to use

Double-click on the Update Service icon on the desktop.
Let Update Service access the Internet to download content needed to run the service (Internet access may be blocked by your firewall settings).
Follow the instructions that appear.