How to connect iPhone hotspot to windows xp?

I have hotspot turned on on the iphone and plugged it in to my (Dell PC) windows xp computer and nothing happens? How do I connect? When I open network connections the only thing I see is local area connection and it says it's unplugged… Anyone know how to do this? And for the record I'm trying to get Internet on the computer NOT the iPhone. I say this because I've seen instructions to get Internet to the phone but my phone already has Internet.

You have to enable Wi-Fi on the computer. Hotspot is a wireless internet connection, your Iphone will function as a router when you turn on the hotspot feature.