You’ll only see the Internet Tethering banner when your phone is connected to the internet and is sharing the connection with your laptop.

If you have bluetooth built in to your laptop you won’t need a dongle. In order for tethering to work you need to be paying the subscription fee to your network and make sure that tethering is turned on in the settings menu on your iPhone.
(Settings -> General -> Network -> Internet Tethering)

You can then just connect to your phone using bluetooth, or plug the phone into a usb port using your regular usb sync cable and it will connect automatically.