Well I'll tell you how i did it. It was quite simple for me.
Here's my setup
ISP -> Router - > WinXP Laptop -> Z via USB
My router gives my laptop (via wifi) 192.168.1.x
I setup the Z USB to have 192.168.0.2/24 and 192.168.0.1 as my GW and then my ISP's DNS Server.
I plugged in the Z to WinXP and it setup a network connection with IP 192.168.0.1/24 No Default GW and no DNS as they are not needed.
I then ran the Network Setup Wizard in Control Panel and just next next next until I got to the "Select a connection method" section.
For my setup I selected
"This computer connects directly to the Internet. The other computers on my network connect to the Internet through this computer"
Next
Select your Internet connection.
In here I selected my Wifi card as my internet connection.
The next section "Select your private connection"
Selected my Local Area Connection 3 (Zaurus)
Then next next next until its done configuring my computer for home or small office networking. I don't want to know what small office uses XP for their gateway.. but who knows.
Now as per the title we're almost done ....
And "Just finish the wizard. I don't need to run the wizard on other computers." Next Finish
Voila. I'm online with my Z
Hope this helps.