Yeah, that's what Hokie means - you need an ethernet cable, or a wireless solution, for each device in the network. The term "modem" refers to the interface device which provides you your internet access; in your case, it would be the cable modem, the box between your 'puter and the cable system.
And Hokie, you're right - I overlooked the wireless connection on the "gateway machine" in my temporary lashup - I did have multiple onboard network interfaces on the "gateway machine"; a standard NIC and the 802.11a/b/g card, and the 2 had previously been bridged and just left that way
However, screwing around a little more, using my DSL modem's USB connection, I did get the lashup to work in wired-only configuration, with just a router and single NIC in each machine, but that's neither the same thing nor likely an option for vonderjohn. And anyhow, ICS ain't the most elegant way to go about it, so the point is sorta moot.