First lets Start With XP Setting. (and i would give the example of Xbox 360)
1) First plug you USB modem and connect to the internet on your PC.
2) Connect your Xbox 360 with an Ethernet cable to your PC. Please use the cable that came with your console or use a Patch Cable.
Now how to share the Internet connection With your Console.
Step 1: Go To Start > Settings > Network Connections and start the Network Setup Wizard to set up Internet Connection Sharing.
Step 2: On the first two Dialog Boxes click Next, Next. If you’re using a laptop and don’t use Wi-Fi, the Wi-Fi adapter might be shown here – tick the box to Ignore disconnected network hardware. There shouldn’t be any hardware listed here for a desktop PC, unless it has more than one Ethernet port – you can ignore this too, in that case. Click Next then
Step 3: Then Chose the option This computer connects directly to the Internet and then Click Next.
Step 4: From the list of hardware select your USB modem. It should be obvious which entry to choose. Click Next.
Step 5: Now select the network connection that you want to share your USb modem’s internet connection with – this should be the Ethernet port or NIC. Click Next.
Step 6: Click Next to leave the remaining options at their defaults, but select Turn off file and printer sharing when prompted. Click Next another two times and Windows will then configure your network accordingly – this may take a minute or two
Step 7: When the Wizard has finished, select the Just finish the wizard option, then click Next, then Finish. Windows XP is now configured to share the USB 3G modem with the Xbox 360.
And now lets Start With Vista Setting.
Step 1: Go to Start > Settings > Control Panel > Network and Sharing Center, then click Manage Network Connections in the Task pane.
Step 2: Right-click your broadband connection and choose Properties.
Step 3: When the dialog box appears, make sure that your broadband modem is ticker in the Connect using list, then click the Sharing tab.
Step 4: Enable the Allow other network users to connect… option and if it doesn’t appear automatically, select your Ethernet port (this should be listed as Local Area Connection) in the drop-down list below. Click OK
Step 5: You may need to disconnect your mobile broadband modem and re-connect for the settings to take effect
With the appropriate steps completed for your operating system, it’s time to move onto the Xbox Live settings on the Xbox 360!
Set up Xbox Live
On the Xbox 360, open the Dashboard and select System (the far right screen). Then select Network Settings > Test Xbox LIVE Connection.
If you’re currently signed into Xbox Live with a profile, you’ll be prompted to sign out. The console will then run through a series of tests for the Ethernet (wired) connection to the PC.
If the console passes each test and ends with NAT: Open, that’s all there is to it – press the Y button on the console controller to return to the Xbox Dashboard.
If the Xbox 360 fails any of the Xbox Live Connection tests, press the X button on the controller to repeat them. If you still have no luck, disconnect and reconnect your mobile broadband connection on the PC, then re-run repeat the appropriate sequence of steps to set up Internet Connection Sharing – keep all the settings the same.
It’s worth repeating this process a number of times if it doesn’t work – it took us several attempts before the Xbox 360 would establish a connection and complete the tests.
If the console still refuses to establish a connection to the PC, or if the NAT setting result shows ‘Strict’, you may have to reconfigure the firewall settings on your PC.
If you have a third-party firewall installed, try disabling it temporarily and running the Test Xbox LIVE Connection tests again. If this solves the problem, you’ll need to enable the firewall and forward these three ports:
Alternatively, you can put the Xbox 360 (via its IP address) in your firewall’s DMZ. This means that it won’t be protected by your firewall, but that’s not a problem for a games console.
If you use either port forwarding or the DMZ, you’ll need to know your Xbox 360’s IP address. By default, its IP address is assigned automatically and will change each time it goes online. You need to change this to a static IP address – one that never changes.
On the Xbox 360, open the Dashboard and go to System > Network Settings > Edit Settings (or select Edit Settings from the Test Xbox Live screen). Make a note of the IP Address, Subnet Mask and Gateway.
Press the A button on the controller, then select Manual. You can then select the IP Address, Subnet Mask and Gateway in turn and enter the values noted above. Select Done when you’re finished and the console will prompt to test the connection again.
That the end of it.