I had a lot of trouble connecting my pc. The Blue Bar was saying ! connection & I could see throughput but it wouldn't go online. & in my case I used USB but you may find this usefull....
This is what I did:
in settings under Safari on my 4s II cleared all cookies & history & I set Accept cookies to ALWAYS
then on the PC I created a 2nd LA connection in network connections. The 1st is connected to a router with WIFI but so far I have persisited with USB as WIFI seemed less likely but it may work now, I havn't checked.
I then opened propeties of the LA connection 2 & hit the ADVANCED tab & checked "Allow other network uses to connect to this computers internet connection".
I then opened Settings in the 'Internet connection Sharing' dialog & an SERVICES tab opens. In this page there is a list of check boxs for ..internet protocals, DNS servers, mail servers etc. Check them all.
this time when I opened my browser it finally got online.
I then opened the settings list again & there were some extra checkboxes from some extra protocals, whatever that it found after it first loaded up google search page.
Sorted. I hope this helps.
Dex