I found a way to make it work myself.
Just did it once now but did these steps:-
1.Enable packet data.
2.Enable data roaming.(Not needed BTW)
3.Change network mode to WCDMA only(make it to 3G).
4.Install USB Tunnel app in your phone and start it.
5.Now run the computer app.
6.Select your phone.(If there is nothing then refresh it)
7.Leave the DNS column empty.
8.Now just hit on CONNECT.
Just used the stock browser and Opera till now. Didn't try to open Play Store. I will do it soon and update here.
----UPDATE----
Play Store also working without doing anything extra.
----UPDATE----
If you already have a datapack activated in your mobile then this won't work.