The best way to do it without much cost is:
Install Windows 2K or XP in the main computer (the one that is turned ON most of the time). He will be the " Internet server". Now, buy a cheap 4-port HUB (I think about 10, 20 bucks) and connect them as a normal LAN. If your cablemodem uses a Ethernet port to connect to the computer (eg. uses a NIC), you'll have to buy a new NIC to connect this computer to the local network (eg. 4-port HUB). Then, the only thing you should do is set up the rest of the computers to connect to the Internet using the LAN, and set the main computer to share the Internet. THAT'S IT! There's no way to be found sharing the connection becouse you'll have only one real IP. Here at home, I can play games, surf the web, make updates, all I have to do in the Internet, without a problem with this setup.
The setup should look like this:
.........................................................................................computer #1
......................................................................................./
...................................................................4-port HUB--- computer #2
................................................................./.....................\
..............................................Lan card #1........................computer #3
............................................/
Main computer (Win2K, XP):
............................................\
..............................................Lan card #2, or PCI card, or USB, or Firewire
....................................................................................................................\
.....................................................................................................................Cable modem
For a secundary NIC, to use with the cable modem if needed, you can buy a cheap 10 buck REALTEK based NIC, they are good, especially for Internet connections that really don't reach a tenth of what any modern NIC can do.
I hope I helped!