Part of the problem is the way Windows does internet connection sharing. It doesn't use the full dhcp/gateway setup that Linux/Unix uses (when doing this type of setup - Windows Server will, but who wants to spend that kind of money for a home system).
The easiest way to share the internet connection, and by far safest way, is for the Linux system to do the sharing. The internet connection sharing wizard that comes with Mandriva (for example), will setup the Linux system to share a broadband connection, generate an start a dhcp server configuration, and provide the other systems on the network with gateway and dns entries. It can then act as a more secure firewall for the windows system, and if setup correctly, alert you to any viruses or spyware that is trying to access the outside world.
Other than that, If you still want Windows to be the internet host, make sure the Windows system has a static IP address, and that Linux is configured to use the Windows system as a gateway. You can also add dns entries to your Linux system to use your ISP's DNS servers.
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