Read the following MSKB article where you'll find some videos.
Q306126 -" How to configure Internet Connection Sharing in Windows XP"
Trying to unweave, unwind, unravel
And piece together the past and the future,
T. S. Eliot
If I open Internet Explorer from the client, then the host PC where ICS(Internet Connection Sharing) is enabled, dials out and establishes connection successfully.
However, if I right click on Remote Gateway area of Network Connections where shared connection from ICS host is displayed and click 'connect' to explicitly establish the connection, it does not work and fails.
Difference between automatically trigerred and explicitly initiated connection is that in former there is pop-up window on ICS host while in the latter there is not pop-up on ICS host that it is dialing out to establish connection.