Yea, I just posted this on a different thread. The best way that works for me is to use ICS. Windows has a tutorial if you don't know how to do it. The problem then would be that most people would receive a moderate or strict NAT.
To fix that first go to the Control Panel and double-click Network Connections.
Next, go to your connection that connects to the internet. (In my case it was the Wireless Network Connection.)
Now click on Properties and go to the Advanced tab on the top. Here you should have access to your Windows Firewall settings and Internet Connection Sharing. Under Internet Connection Sharing, there should be two checkboxes. Check the second one so that both are checked.
Now your 360 should be able to open up the ports that it needs on its own. Your NAT should show as Open. I'm not sure if it'd work the same for a PS3 though since I don't have one, and this is all assuming that the NAT would be open had you connected directly to the router. If not then the problem would then lie with the router.
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