Lets say you have two computers and one of them is connected to the Net but the second one isn’t. What is it that you can do to connect the second computer as well?

Well, your first option is buying a router, routers aren’t that expensive any more and they are quite easy to use.

Your second option is to use Internet Connection Sharing (ICS). Now this option has its drawbacks - first of all your second computer will be connected to the Internet only if your first computer is powered on. Then the speed might not be as good as if you use a router. And last of all it isn’t that straightforward to set up and it might give you a few headaches.

But if this is the route you want to choose please read all about it:
ICS for Windows XP
ICS for Windows Vista