Install PDANet from the android market on your phone
Connect your Droid using the USB cable
Set USB mode to USB Mass Storage
Run PDANet
Select Enable USB Tether
Click Yes, Let me download
Follow the onscreen instructions
On your computer, right click on the PDANet icon in your system tray and select Connect
To disable the connection right click and select Disconnect (or Turn Off PDANet on your Droid)