Hi,
First, this is a common question so search for it in the forums. Second, the answer depends on what you want. Somethings that affect your descision should be:
1. How many pcs do you have?
2. Do you want a dedicated server?
3. How much control do you want?
Microsoft uses ICS(internet connection sharing) as it's built in program. This program is a NAT(network address translator) which ios the simplest of all internet sharing programs. Other companies such as NAT32, Wingate, and Sygate do the same thing. If you want more control and you like to tweak settings, you may want to use a Proxy. Winproxy is a good proxy, but there a re many you could research. Finally, if you have an old PC that you don't use very much, you can use FREESCO to set it up like a Cisco Router. What, you say? Yes, this little program is great for changing older PCs into simple but powerful routers. Hope this all helps.
As Always,
D
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