Okay, I haven't used Windows in a very long time now, but my brother asked me to help him set this up and I used to be quite the Windows pro, so here goes:
The trick, in fact the only real trick, is to configure your wireless NIC for Ad-Hoc netoworking using whatever network name you're wanting to use. Then it's pretty much just following the "wizard" to share the one connection over the other. I'd write in more detail and post helpful screenshots, but since I don't use Windows the screenshots would be hard and someone else already wrote a decent article about it.
Sorry, it would have been fun to make mine the definitive article on the subject, but I'm just not that motivated tonight. I will mention, though, that I was very impressed that we were able to use WPA-PSK on the Ad-Hoc connection and it worked perfectly. I don't think you can do that in Linux yet.