windy1, I am also an NTL cable user in Cambridge. My advice is
1) don't bother with ICS, get a router
2) I tend to set up my customers with Linksys kit - you can get a wireless router for about 50 quid from Amazon these days
3) I believe the official line from NTL is that you may connect up to three computers; in practice it is beyond their control
4) To set up VPN through the router you will probably have to set up port forwarding on the router. You will probably not need a (more expensive) "VPN router" - what they can do is provide VPN access for
all the machines connected at your end: probably not what you want. Basically, this all depends on what VPN you are using and how it has been set up at the other end.
Further points: this business of cloning the MAC address no longer applies with NTL.
Have a good look at this page and bookmark it
now:
http://homepage.ntlworld.com/robin.d.h.walker/cmtips/
In my opinion the simple firewalling provided by the low-end routers is sufficient for this sort of installation - however I always recommend the installation of a software firewall on each PC as well, to protect against when your mate brings his infected laptop round to the house and plugs it into the network.
If you get a wireless router, make sure to set up the WEP keys - out of the box most of them seem to be completely open to everybody. In fact a badly configured wireless VPN router is one of the scariest thoughts I've had in a long time...