In my phone when I connect my phone, in Settings > Wireless & networks > USB Internet (sharing Windows PC internet via USB cable) checkbox, which I checked then it asked me to choose my Windows version (which is Windows 8.1 but since it didn't show that option) I chose Windows 8. It gives me further instructions as showing in the following picture:
Here is the problem, there is no sharing tab (see the following screen shot) 
Method 2: As described in How to setup reverse tethering over usb
I learned on this site that it is called Reverse tethering. I read and followed the procedure mentioned in How to setup reverse tethering over usb
I followed all the steps described in that answer, until executing the command.
Install USB drivers from Android SDK [DONE]
Connect USB cable and activate USB Tethering (You should see on a new network interface.) [DONE]
Bridge the 2 network interfaces [DONE]
On your computer execute adb shell netcfg usb0 dhcp [PROBLEM]
When I execute adb shell netcfg usb0 dhcp it says: error: device not found. I tried the same thing with USB Debugging in Developer settings, ON & OFF. The error remains the same.
Method 3: Rooting the device and using an app
I read here and there that there is another method, in which we can directly use an app but it requires rooting the device. My phone is a new phone and warranty becomes void if I root it.
EDIT: I've tried the method suggested in answer, ar the 4th step of method 2, I'm facing this problem:
