BG95 does not support the MBIM/NDIS interface that would allow the cellular data interface to your PC from the windows network settings (as works for other modules such as BG96).
To connect the module cellular data to your laptop, the modem needs to be setup using PPP interface. See the attached for BG96 and also applies to BG95.
If you are driving the module from MCU AT commands, the note describes interface to an MCU PPP stack. Section 5 onward outlines how to configure a modem for PPP in Windows. Unfortunately Windows 7 is used as example and if you have Windows 10 then the menus will be a little different, but essentially the same idea.
1 – install as new modem
2 – create a new dial-up connection (Windows 10 may differ a bit from the Note).
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