É chamado de Compartilhamento de Conexão com a Internet no Windows XP. Há um bom tutorial aqui .
Trecho:
On the host computer:
- Log on to the host computer as Administrator or as Owner.
- Click Start, and then click Control Panel.
- Click Network and Internet Connections.
- Click Network Connections.
- Right-click the connection that you use to connect to the Internet. For example, if you - connect to the Internet by using a modem, right-click the connection that you want under Dial-up.
- Click Properties.
- Click the Advanced tab.
- Under Internet Connection Sharing, select the Allow other network users to connect through this computer's Internet connection check box.
No computador cliente:
- Log on to the client computer as Administrator or as Owner.
- Click Start, and then click Control Panel.
- Click Network and Internet Connections.
- Click Network Connections.
- Right-click Local Area Connection, and then click Properties.
- Click the General tab, click Internet Protocol (TCP/IP) in the This connection uses the following items list, and then click Properties.
- In the Internet Protocol (TCP/IP) Properties dialog box, click Obtain an IP address automatically (if it is not already selected), and then click OK.