Presuming you're using XP, have a look here:
http://www.practicallynetworked.com/sharing/xp_ics/
I was trying to do the same and then decided to buy a router with a DSL WAN connection (DG834G) which has the benefit of Wireless connectivity for our laptops and it means I don't need to leave the host PC on all the time. I picked it up on ebay for about £45.