There are many ways to do this:
1) buy a DSL router... This requires minimum setup, but most expensive way... But you do get the advantage of a hardware firewall...
2) Setup network between the 2 PCs... put another NIC in the PC connected to the DSL modem, and make it the server... Then run some kind of ICS software to share the connection...
3) Dig up an old PC and run Linux to make that the server... This way it doesn't tie up one of your other PCs...
It all depends on your budget and what you want...