So basically I would have Internet access again. However, Samsung for some reason didn't include the proper drivers for the USB Tethering so to install the drivers you need an Internet connection in the first place. And why would someone enable the tethering if they already had a fine Internet connection?!
So after searching on my phone trying to download driver packs I found out that you can't download .exe files onto Android because you just get an error saying "File not supported" so I spent some more time trying to find it in a .rar file. But I just go into some stupid filesharing site that didn't allow me to download without waiting 4 hours or some bullshit.
Then I found out that you can download .exe files with the Firefox browser on the phone. So now it works

Conclusion: Samsung is stupid for not including the proper drivers in the phone as an autorun or just giving us a CD.....