The real question is which version are you using. I finally broke down and updated to the new WM6 using the 0.7RC1 kitchen. In that software is a much easier to use software called internet sharing. When you click on it and connect to your machine by USB it takes care of the rest.
The data modem way works but it requires a lot of manually labor to work correctly. I know because I spent a good while getting it to work before finding a simpler way. If you don't want to update your software this is the thread you probably are looking for with the drivers (which I have tested and worked on the firmware for me in both xp and vista).
http://forum.ppcgeeks.com/showthread.php?t=10061