Android - Android phone doesn't pops up with "USB connected" message

Check Settings -> Applications -> USB Settings or Settings -> About Phone -> USB Settings, rather than the network settings.

I would also try a different USB cable, just to make sure, as well as a different USB port and a different computer if you can. You can try wiggling the connector in the device as well and see if it makes proper contact intermittently.

As Al notes here this sort of problem seems to come up pretty often with Sasmsung phones, so you might just be out of luck. If all else fails, though, I would try a factory reset.