I want to connect this smartphone to Internet through computer connection. Is that possible?
The smartphone and the computer are connected with USB.
HTC for example has this option in settings menu but I can't find it in Samsung Galaxy S.
It's called reverse tethering and can be quite complex depending on which phone, the ROM you are using and your experience level. My HTC phone offers this option in the settings menu. Unfortunately, from what I have been able to find, it doesn't appear this is standard for the Samsung Galaxy.
You may want to do a search for
One of the resources I have found most helpful is XDA Developers.
Please be advised; any modifications you make are at your own risk and can possibly void any warranty you may have.