Set up step by step
1. Connect 2 pcs with crossover cable - assuming both pcs have working ethernet cards.
2. On PC with internet connection go into Control Panel>Network and Internet connections>Network Connections.
3. Right click your internet connection and select properties, advanced tab.
4. Enable Internet Connection Sharing with whichever options you like the look of.
5. Reboot both pcs for luck.
6. It all works.