Well, any windows system on the internet, especially broadband, should have a firewall. (Linux should have firewall to, but much less subsecptable to hack.) Windows does have something called Internet Connection Sharing, although sometimes it is buggy. I have seen some freeware proxy software around also.
If you want it seperated from the outside environment, and the stablest way, get one of those broadband router/gateway deals. I think you could find one under $200. But they have a control panel with web browser access, and you just plug them in, set a few things with your web browser, and it’s ready to go. You can also specify port forward for some (i know the linksys does). Or if you can do Linux, it isn’t hard to set up a little Red Hat gateway.
But most broadband provideres require you only have one IP, so you would have to either use ICS, proxy software, little router/gateway, or a Linux box gateway.