If you're using Windows XP, it should have something called "Internet Connection Sharing" somewhere under the "Network Connections" window. This can reportedly perform basic routing services and, in the past, I have successfully used it to share a 56k connection among three machines on a LAN (back when I was fighting with my Linux firewall's hardware).
One advantage to this approach is that, like many things in Windows, it is quite easy to use; Microsoft is usually pretty decent with UIs. However, I find it quite irritating when sharing an ethernet connection as, for some reason, it always demands that the NIC on the internal side have the IP address 192.168.1.1. (Since my internal network uses the 192.168.0.x subnet, this caused problems.)
ICS prolly comes with a "wizard" which will configure everything for you. Keep an eye on what it does, though, as I had some trouble figuring out what to de-configure once I was finished with it.
Good luck!
(edit)
BTW, I think that ICS also provides a DHCP client... so if you want to let it do the 192.168.1.1 thing, you can get DHCPed addresses on that subnet.