They should connect via the network, you shouldn't need to make a direct connection.
Just check that both phone and pc are on same network and have IP address in the same range. Then you can make the connection by IP address, this is how i connect to my PC.
my phone IP is 192.168.1.80 (given by wireless) , my computer is 192.168.1.81 (given by ethernet, same router).
On my phone i enter 192.168.1.81 and password to connect to the computer.