1. Click "Start", click "Run", input "NCPA.CPL" (without quotation marks) and press Enter.

2. Right click on the "local area network (LAN) connection" or the dial-up networking connection that you want to share (that is, the one that connects to the Internet) and then click "Properties".

3. Click the "Advanced" tab, click to select the "Allow other network users to connect through this computer's Internet connection" check box.

4. If this is a dial-up networking connection, and you want the connection to be automatically dialed when another computer on your network tries to connect to the Internet, click to select the "Establish a dial-up connection whenever a computer on my network attempts to access the Internet" check box.

5. If you want to permit other network users to enable or to disable the shared Internet connection, click to select the "Allow other network users to control or disable the shared Internet connection" check box.

6. Under "Internet Connection Sharing" in "Home networking connection", select the connection that connects the computer that is sharing its Internet connection to the other computers on your network.

For more information, please refer to the following Knowledge Base article:

Title: How to Enable Internet Connection Sharing on a Home or Small Office Network Connection in Windows XP
Link: http://support.microsoft.com/default.aspx?scid=KB;EN-US;314066