If you are using a DSL/Cable external modem, there is a better solution than using windows internet connection sharing which is rather slow and inefficient.
If you have an old PC lying around, you can turn it into a router/'firewall with DMZ services all in one!
Have a look at
www.freesco.org
The product is a linux router+ firewall with DHCP etc all rolled into one package that boots off a floppy disk!
If you install it to run off a harddisk, you can add in your MTA and web services as well!
All you need is an old PC with two network cards (Or one modem card if you are using dial up).
Its a good project for a lazy sunday afternoon if nothing else!
Regards
Richard