The same way you would connect to any hotspot or wireless connections. You open up a list of the wireless access points near you and select the correct SSID. Provide any credentials it might ask for and you should be good to go.
My Computer
At a glance
Windows 7AMD Phenom II X4 955 Black Edition8GBPNY XLR8 GeForce GTX 460 1024MB GDDR5
First you need to make your mobile as wifi Hotspot
step 1: Go to Settings--> Tethering and Portable Hotspot
Step 2: enable wifi Hotspot
Now you can connect your laptop or any other Wifi device.