Wires idea is only slightly better than mine.
Here is the true and honest reality:
When I first got DSL and didnt know jack about internet, then I did the internet connection sharing with WinME, and it worked excellent. I got a private IP from my ISP to use, so it wasnt exposed to the internet anyway.
Then a couple months later my bro bought a linksys switch/router for about $200. It had a 4 port switch built into it, and it was excellent cause you could NAT with it.
Then about 1 year later, I bought a Linux box for about $200 and did IP masquerading with it, plus I setup a dial in so I could dial-in to it from anywhere and get internet, plus I set up a webserver/email/dns server on it, plus windows shares, plus even a VPN to it from work, and it has never crashed on me once, and I have never had to reboot it for anything.
And the linux box (depending on the website you go to) outperforms the routers when doing NAT.
SO IN ALL REALITY the coolest/fastest/best thing to do is Linux because of all the cool options you have when you do that, and performance is spectacular.
But if you are new to this stuff and dont really care about anything except that your 3 computers can get on the internet, and dont really want to spend any money, then just enable internet connection sharing with XP or ME. And if you want to be a little more adventerous, do what Wires said, and if you want to be absolutely adventerous and try out some really cool stuff, go with Linux.
But any of those 3 ways will accomplish your internet sharing for all of your computers. I just thought that the windows way was by far the simplest.
And that my friend, is the absolute reality.