No answers could mean either, but it helps to have done some research yourself, so that you don't ask easy ones unnecessarily.
I don't think you can connect the machines via USB. What you need is ethernet networking. There are millions of howtos out there, and a search on
this site will tell you a lot. As to internet sharing, Linux has routing built in, so you don't specifically need a proxy.
Try
www.google.com/linux for a good start.
Jim