Hi,

I share my cable modem with a little proxy server WINGATE. I use 2 network card in the computer runing WINGATE. It's easy to use. You can even use ICQ and chat with it, that's not easy to do this with a firewall.

Last year, I try also a small program, NAT32 (that make NAT, like a router) You also need 2 network card in your computer

It's a very cheap solution, but working fine