I had this same issue before when there was no broadband in my area. I did something similar to what Trinitron mentioned. Originally, I had a proxy server setup, but it was always a pain with certain websites and programs not being proxy-enabled, etc. So I switched to Microsoft Internet Connection Sharing. Note that you can use your routers DHCP with this.
The only issues I ever had with ICS was sometimes a computer just simply would not find my machine's Internet gateway and it required tons of monkeying around to get it to finally work. Unfortunately, there is no simpler way to do this like the plug-and-play-esque nature of a broadband connection.