It depends exactly what you want to do.
windows has a service called ICS (internet connection sharing) doing it this way YOU have full control over who does what.
It's generally done using a modem ... you connect using the modem .... and allow others to share your connection
the down side is your machine has to be on .
If you have kids - that's an upside because they can't sneak off and surf - but you could still surf
these days the more common way is to use a router which has wireless built in.
the upside is you only need the router switched on for everyone to get access.
the down is ... you loose a lot of control over who does what (unless you know exactly what you are doing.
this is the sort of kit you'd need (I like linksys ... but netgear is good - I'd go for one that has the latest version - 802.11N
http://www.linksys.com/servlet/Satellite?c=L_P roduct_C1&childpagename=US%2FLayout&cid=111541 6939789&pagename=Linksys%2FCommon%2FVisitorWra pper&lid=3978991233B01
http://www.netgear.co.uk/home_wireless_broadba nd.php