After googling various sources I found, there miss easy manual how to connect your raspberry to internet without so much difficulties. Here is the simple step guide.
1. Connect raspberry to your PC with normal or crossline ethernet cable
2. Set static IP address on your local Area Connection
3. Put raspberry SD card to PC and append in cmdline.txt "ip=192.168.137.2"
4. Return back SD card to raspberry and turn on
5. At PC you can run command ping 192.168.137.2 -n -1 to see when is connected
6. When connected, you can SSH
7. Enable Internet connection Sharing at adapter which has internet