1. Assuming broadband or some other form of “always on” connection.
2. You will have a terminating box from your ISP. Check if it is configured to connect to a single machine or a LAN.
3. Setup a server (Win2K3 or Linux)
4. Connect the ISP’s box and configure the server to use accordingly.
5. Setup internet connection sharing / web proxy on the server.
6. Setup DHCP on the server.
7. Setup clients to get their IP and network information from the server.
8. Configure the browser on the clients to access the net through the proxy.
The above info could be more exact if you could give the required details.