If you have the money just buy a router, it will save so much hassle in the long run.
It can be done using 3 ethernet cables and a crossover cable, but I had hassle with that a few years ago. Since I bought my 4 Port LinkSyS cable router it has run like a dream. It can also be configured to work hand-in-hand with Zone Alarm Pro and is so damn easy to setup that a monkey with one arm could almost give it a go.
A router/Switch is definately my recommendation for trouble free sharing.