Things you need
CROSSOVER Ethernet cable (You can't use the one included with the xbox. But chances are that you have one lying around. Most will be labeled saying crossover. Thanks to sk8erek who reminded me to edit this.
I Edited this to show how to do it with Vista and Mac, so this will work for all 3. The one done by me is for Windows XP. Step 4 is Windows Vista. Step 5 is Mac OSX, both Leopard and Tiger
P.S.- This is new information. I just edited this on January 3, 2008. If you do this, you won't be able to connect to the internet through your Ethernet port anymore. Only providing internet will be possible. If you want to know how to fix this, scroll down to my comment about it.
EDIT: A fix for the above problem was posted in a comment by timheppner. I have not tried this myself, but he says it will work, so try it out.
"EDIT 2:" A guy named bsblade told me that my instructions on doing this on a mac were wrong, so I updated it according to his instuctable. To see changes, check out step 5