Using two parallel internet connections

Hello everyone.

I have a wired connection to an internal network which accesses internet through a proxy server. I also have a WiFi connection that I connect my Android phone to and then transfer it to my PC through USB Tethering.

I'm trying to use the wired connection on Windows, and at the same time use the Tethered WiFi connection on Ubuntu that I'm running in VMWare Player as a virtual machine.

Is this possible, and if it is, could someone please explain how to do it? :)