At the Windows device end of things you shouldn't need to do anything special, the whole idea when using a mobile as a hotspot to allow other devices to use its connection is that it appears as a simple wireless access point, so using it should be no different
to using any other wireless connection.
I'd check that in addition to being assigned an IP address from the phone that the Default Gateway address is being assigned and is pointing to the mobile (since you want traffic to out through it). If you run "ipconfig /all" at a command
line you should find that the "Default Gateway" and "DHCP Server" are the same address.
If those are being picked up correctly then I'd check the settings on your mobile. Presumably you've ensured your mobile package allows tethering?