I have no internet connection in my Samsung Galaxy S3, even though it's connected to my computer with internet and Kies already recognizes it. I'm trying to update my games and application using the USB connection to my desktop (Desktop has internet connection).
The phone doesn't support reverse tethering by itself. You'll need to have the phone rooted and then use an app to accomplish this. There is a trial version of such an app called Reverse Tether available in the Play Store.
In case you didn't know: reverse tethering is where you share the internet connection from your PC (or other device) to your phone, where tethering is where you share you phone's internet connection to other devices.