I found this on another site:
1. First, make sure that your computer’s wireless connection is working properly.
2. Open the Control Panel (Start->Control Panel)
3. Click on Network Connections
4. Click Setup a Home or Small Office in the left hand colunn.
5. This will bring up a wizard, click next to begin setting up the network.
6. Select This computer connects directly to the internet.
7. Select the connection you wish to share, in this case, the wireless connection.
8. It may tell you that you have multiple connections, if so, be sure you select Let me choose the onnection…
9. Give it a name and description
10. Give it a workgroup
11. Then click next to have it configure your new network.
12. You may have to restart your computer for this to take effect.
13. Once your computer has restarted, plug your ethernet cable into the computer, with the other end into your Direct TV box.
14. Go back into your Network Connections and right click on your wireless network (the one we are going to share).
15. Click on the Advanced tab at the top, and check the box that says ‘allow other network users to connect through this computer’s connection’, you then may have to select which connection you wish to share.
16. Go into your Direct TV Menu and test your network connection. If it says OK! then, your good to go! If not, read the additional steps below.
Additional steps (troubleshooting)
1. If your test says OK for all the steps except a gateway address, or everything but the last step, then go back to your computer’s network connections.
2. Right click the network you created in the steps above. Click the advanced tab, then Click the settings button. You may need to enable all of the protocals listed in order to get your box online, though I am not sure what type of requests the box is sending, their technical support was not very helpful.
That should do it. I didn't try it yet but it makes sense. I am going to try it with the next hour.
You could also use a wireless adapter made for xbox live and other game consoles.