I have a Samsung galaxy young GT-S6312. How can I connect it to my PC for internet connection. If there is any software then please inform me.
There are two ways you can do it. Legally and Illegally.
You have a "Hotspot" service active with your carrier, which you typically pay extra for. You can generally activate this by launching a Hotspot App (T-Mobile supplies one, not all carriers may do the same) or by navigating to the appropriate setting in the Settings menu. If you do, in fact, pay for such a service, simply call your carrier for specific instructions.
It won't get you thrown in jail but your carrier's don't like this and may charge you overages. You would need to root your phone and either install a Custom ROM or download an app to activate the service. Done this way you can usually tether by Wifi (hotspot), USB, or Bluetooth.
This is pretty involved so I wont try to explain it here. I'd recommend going over to http://www.xda-developers.com and going to the forums for your device and carrier for specific instructions.