Internet connection sharing in Windows is a form of NAT (Network Address Translation). You will need to turn on NAT for the Internet connection.
  • Go to Control Panel->Administrative Tools.
  • Open the Routing and Remote Access control panel.
  • Click on IP Routing->NAT / Basic Firewall
  • Select your Internet Connection and open the property page for it.
  • Select "Public Interface Connected to the Internet" and check the enable NAT box.

Once you have tested that this does indeed work, I would recommend that you al,so turn on the Firewall and only allow services such as HTTP and SMTP hrough the conenction to help keep it secure.