The first thing you need is install the Ethernet USB drivers on your windows box. Follow this guide: http://www.trisoft.de/en_c860winxpsetup.htm
until you find this string: "The drivers are installed. Click on [Finish]. ".
At this point you will get another network device on your windows box. Now two things:
1)You need to set an ip to this new device. The Ip must be at the same subnet as your Zaurus.
2)Configure the PC Link settings on your zaurus.
Mode Setting: PC Link Setting
USB IP: one of the same subnet as the new network device
Connection: USB - TCP/IP (advanced).
Now attach your zaurus to your windows. Now you should be able to ping each other.
After this you can setup a proxy on your windows box, or create a shared connection or a network bridge. Finally modifiy your /etc/resolv.conf with your dns.