Here’s how you can easily set it up:
1. Click Start, Control Panel, Network and Sharing Center .
2. Click Set up a connection or network.
3. Click Set up a wireless ad hoc (computer-to-computer) network, and then click Next.
4. Enter a name for your network, choose a security type (WEP), and then enter a security key.
5. Check the Save this network box, then click Next.
6. If you see a box marked Turn on Internet Connection Sharing, go ahead and click it.
That’s it! Now you should be able to share your internet connection with other users within about a 30ft range.
Here’s another tutorial for Windows 7 and Vista: