OK, then. Just go to settings, network and dial up connections and tell me what's in it. If you have a LAN connection which had the NIC as the device, then we just need to set it up.
BTW, if you want to try the built in win ICS instead of another app like AnalogX's proxy, go here to Helmigs site. he had a step-by-step for win ICS in 2k, including how to set up clients in 98.