You're talking Internet Connection Sharing which (presumably remains a feature of Win7). Try typing ICS in Help in Windows and follow the breadcrumb trail. Note particularly you must turn off firewall on both machines and that when connecting two computers you (usually) need a crossover version of the ethernet cable.
Though ICS works reasonable well the main drawback is that the first machine must always be on when the second one wants internet. Of course there also be hidden pitfalls to the Mac/PC hybrid.
Frankly, it's an awful lot better to buy a router and share the internet that way.