How do I connect mobile hotspot USB tethering to a desktop CPU?

If you mean to use your phone as a modem and provide internet to your computer, then go to settings under the wireless and networking tab. Go to more options, then tethering and portable hotspot. You may see the USB tethering option grayed out; just plug in a USB cable to your PC and turn the option on. However do not press charge only if messages pop up on screen. Whether to use the device as a media storage or simply charge, doing so will hide the phone from the computer. You now should have internet access. If not, install drivers of your device manufacturer from their websites.