There's a new solution out there now which will aleviate the pain and suffering that Software Proxy programs WILL inflict. I say WILL inflict because most of these programs require a complex knowledge of IP Networking.
The newest and simplest solution is what is called the Cable/DSL Router.
Linksys and Netgear both make cheap($135 range see Onvia.com for pricing under Purchase Now menu tab).
What these are are Network Switches. You get 4 ports of 10/100 Megabit throughput SWITCHED. This is MUCH faster than a standard hub(according to the network geeks). And you also get one 10 Megabit port for your DSL modem. Plug both your computers into one of 4 ports, then using a simple configuration screen, it'll provide special IP addresses for your other computers(upto 253 others). These Routers also come with Upgradable Rom so you can download "FirmWare" updates from the manufacturer(I've read this is required in order to get DSL modems to work). Now you're playin with the big boys!
The router also provides security as it contains a pseudo Firewall that protects your back end network.
I tried WinGate about 4 years ago and it took me a month to get everything working properly(ICQ needed special config so did Email, so did everything else). I ended up purchasing a 2nd IP from my Cable Modem ISP(now @Home which costs $10/month). I'm paying WAY too much money for it.
I plan to buy the Linksys 4 port Cable/DSL Router ASAP.