Budmans got it right there.
You can either buy a cable modem router or NAT box (A device that allows muliple computers on a network use one net connection and account by translating IP addressess - Netgear do good ones.), connect via a Win98/ME/2K box using MS's Internet Connection Sharing (free, but not a huge selection of features and requires that machine to be switched on to allow other people to use the connection.) or buy a third party internet connection sharing program like SyGate (Better features, but still the same problems as ICS.)
I went with the router myself.