I'll look more into the proxy server thing, thanks for the tip.
As for going pure hub, I may simply give up on this supposed easy way to share a connection (again, thanks, Microsoft, on assuring this was easy!!!) and may just go with a D-Link Wireless Hub / DSL Router to share the connection.
In the meantime, stil researching how to do this. There must be a way!
Thanks everyone for your input. I've read and checked everything you all have suggested.
Will be in touch on how it works, if ever.
C.O.