More info is needed.... is it a modem connection you wish to share or broadband? as if it's broadband there are other ways, with modem and router combinations.
Having said that.. the easiest way to set up a simple fast home network between two computers, is to buy two 10/100 ethernet network cards, and a crossover cable.
Bear in mind that you will need either XP or Win2k (i believe) to do internet connection sharing using the above network.
For the two cards and cable... I've always found these to be reliable click here