Eu tentaria atualizar meus drivers com o modem 3G, mas, para responder à sua pergunta, siga o este guia de Microsoft Aqui está um resumo:
How to use Internet Connection Sharing
To use Internet Connection Sharing to share your Internet connection, the host
computer must have one network adapter that is configured to connect to the internal
network, and one network adapter or modem that is configured to connect to the
Internet.
On the host computer
On the host computer, follow these steps to share the Internet connection:
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.
If you are sharing a dial-up Internet connection, select the Establish a dial-up
connection whenever a computer on my network attempts to access the Internet check box
if you want to permit your computer to automatically connect to the Internet.
Click OK. You receive the following message:
When Internet Connection Sharing is enabled, your LAN adapter will be set to use IP
address 192.168.0.1. Your computer may lose connectivity with other computers on
your network. If these other computers have static IP addresses, it is a good idea to
set them
to obtain their IP addresses automatically. Are you sure you want to enable Internet
Connection Sharing?
Click Yes.
The connection to the Internet is shared to other computers on the local area
network (LAN). The network adapter that is connected to the LAN is configured with a
static IP address of 192.168.0.1 and a subnet mask of 255.255.255.0
Você precisará ter dois adaptadores de rede no sistema XP, mas com o VMware deve ser tão fácil quanto adicioná-lo e reinicializar a máquina virtual. Em seguida, basta adicionar o IP da máquina XP como o gateway para a máquina com Windows 7. O link que forneci detalha como fazer isso.