With Windows 7, everything is automatic and you do not need any driver to make it work. For Windows XP however, you will need a driver to make it work. Visit Android.Com's site here to download the driver/utility.
To implement tethering, connect the USB cable that came with the Samsung Galaxy Y to an available USB port in your desktop PC and do the following in your Samsung Galaxy Y:
1. Tap on Wireless Networks.
2. Tap Tethering and Portable Hotspots.
3. Tap on USB tethering.
4. That's it. Fire up your browser in your desktop PC and browse the Internet.