I don’t know of any actual case studies of attacks on cell phones used in this way.
In fact, in order to receive a useful answer to this question you should probably provide more data:
As @Vortico asked; what cell phone? What sort of computer? (Laptop, desktop, if possible the vendors of various components like: Intel motherboard? nVidia graphics card? etc.) What Operating System runs on the computer (Wndows7, Windows Vista, WinXP, Gnu/Linux, Gnu/HURD, MacOSX, BeOS, Haiku, Plan9, minix, what?) what OS runs on the phone (iOS, Android, MeeGo, Debian armel, HP WebOS, Maemo, or whatever) and what sort of connection exists between the two (point-to-point USB, direct Ethernet connection, Ethernet connection over wireless router, Ethernet over bridge, Ethernet over hub, null-modem, Bluetooth, IRDA, ham radio?)
More importantly, which is “upstream” to the Internet- your computer or your cell phone? By which I mean: Does your computer have internet access which is shared from that computer to the cell phone, or does the cell phone have internet access which is shared from the phone to the computer?