Using your phone as a modem to the internet is called Tethering.
First thing you need to do is check your mobile service contract and see if that is allowed.
Next, check if your device can do Tethering. On some phones you'd need to 'root' your phone to be able to do that.
And check with your mobile service provider on how much the data fee might be.
In some cases the cost of the extra data needed might mean need to choose a different service plan.
Here is a generic Tethering Guide - your phone may work differently.
How to Tether Cell Phone Internet to a Laptop http://www.ehow.com/how_4480859_tether-cell-phone-internet-laptop.html