<p>I use my mobile phone for connection to the internet on my laptop, I also have a wired connection to a LAN which doesn't have internet conectivity, it just has our TFS server on it.</p>

<p>The problem is that I can't use the internet (from the phone) with the LAN cable plugged in. Is there a way to set the default route to my phone?</p>

<p>I'm running Windows XP.</p>

There's many OS specific ways to force routing over specific interfaces. What OS are you using? XP? Vista? *nix?
The simplest way is to configure your network card with a static IP and NO GATEWAY, the only gateway (ie. internet access) your laptop will find is then via the mobile.
The disadvantage of this method is that you'll need to access your TFS server by IP address (or netbios name) as all DNS requests will be going out over the internet and not through your private LAN.
EDIT: If you can't use the phone when the LAN is plugged in, that's because you've got it setup for DHCP and the DHCP server is advertising (incorrectly for you) that it will accept and route internet traffic. As previously mentioned, setup with a static IP and no gateway... if you insist on using DHCP you'll need to learn the ROUTE command in DOS, find the IP address of your phone (assuming it's acting as a router) set that as the default route, and remove whatever default route was assigned from the DHCP server.
EDIT2: @dan - you can't use the internet from your phone directly (eg. mobile browser), or you can't make your laptop use your phone for internet when the cable is plugged in? (ie. routing issues) ... if it's the former, then your phone is probably configuring a PAN with your phone and trying to route internet back over the LAN
EDIT @Jorge - IP routing is the responsibility of the network layer, not the application.  Go review the
OSI model
;)