INSTALLING A FIREPLACE IN YOUR WINDOW
Windows PCs starting with Win98SE come with a piece of software called "Internet Connection Sharing, or ICS." In order to use this software, you must normally add a second NIC (normally ethernet) to your PC [Well... you can use it between your dial-up modem and your ethernet NIC..]. The PC will then perform the NAT/router function for you and sit between your Internet connection and your private network. You are also highly advised to run a firewall on that PC, such as zonealarm. If the machine is XP, this would be an excellent time to turn on the firewall built into XP! The PC must be on and running at all times in order for anybody on the home network to access the Internet. And if you are using that PC as your primary PC, then your performance will suffer as your son is (God forbid) downloading those movies and music... Oh.... I can see those packets flying by me.
I would say 5 years ago, this was a very popular thing to do, but we used things like third party software like "Wingate" to share the dial-up connection with other PCs on our home network. ICS didn't exist until Win98SE.
All in all, it is much easier to spend $50 to $100 bucks for an external NAT/router than to deal with all this extra software.