Left my WRT54G Wi-Fi router back at university apartment. Have to set up internet connection sharing with the crappy interface of Windows XP. I knew it would be hit and miss experience. I tried to do this few years ago.
What I can share with the other brave soul who want to attempt this is, the host need to set up a static IP address, gateway and DNS server point to the static IP given to the host. If you are lost now then stop and go buy a router.
Assuming you connect to internet with pppoe (streamyx), then on the Advance tab choose the share the internet connection. Choose Wireless Connection from the list.
That should be it.