I have been using my PDA thru a wireless connection for some time now.
In my particular setup, I have a 4 port hub so that I can connect to my other computers. Off of that hub, one port links to a D-Link wireless gateway.
Under the network connections in the control panel you'll see an icon for your network card linking to your modem. Under the properties, section the 3rd tab is 'advanced' in that tab there's an option for 'internet connection sharing'. Just enable that. If your connection is like mine, I've got one network card going to the modem and one going to the hub so it's going tell you to pick a network connection to share with so you pick the hub. That way anything coming thru that hub, whether it's my other computers or wireless gets authorization.
There's a lot of other configurations though and I don't know what you have but it does work. If you've got a wireless router then I imagine you won't have to do any configuration on your PC.
The biggest problem tends to be finding the right drivers for the PCMCIA cards. On my older IPAQ 3635, I struggled for ages until I found a COMPAQ driver for one of it's PCMCIA cards that apparently worked. On my newer HP5455, the wireless is built in so it connected immediately without a hassle. Even with the HP5455 though, I've had to take a bunch of software updates and it's still doesn't do everything I'd like but it synchs and gets interent wirelessly. Just make sure you go to HP's site and get all the latest updates before you start pulling your hair out.