yes, you do it the same way as an all windows network.
you need to create a proxy server on one of the machines, i would suggest doing this on the linux box but since you specifically requested the windows box you can do it there.
you're going to create an internal intranet with non-internet ip addresses for your network. for example 90.0.0.*
you'll make your linux box 90.0.0.2 and your windows machine 90.0.0.1.
on the linux box you're going to set the gateway ip address to 90.0.0.1 (the windows machine).
now, in order to do this you're going to have to either have two network cards on the windows machine or a network device for your internet that does not require a network card, such as a USB dsl modem.
if your DSL uses a NIC to connect to your computer, you'll need another card. one of them will be internet (90.0.0.1) and one will be external (your dsl ip).
XP has made it very easy to setup a windows proxy server for home network and can guide you though the process very easily. If you don't use XP let me know and i can give you the full details for whatever you currently run.
hope this helps. let me know if you have any questions.
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