Ignore the highlighted red area. In Windows XP (above), when you opened your network connections, at the very top, just like in this picture there was an "Internet Gateway".
I've just recently installed Vista Home Premium 64, and for the life of me, I cannot get that icon to show up in my network connections (or anywhere else, for that matter). From what I can gather from Microsoft's help site, I need to have SSDP Discovery enabled, and it is, but I have no option on my LAN adapter to enable internet connection sharing, which seems to be the other crucial part to getting that icon to show up(or maybe it isn't -- I'm so flustered right now :| ).