Yeah, with your 'AOL Broadband Kit' there should be a CD that's more like a slide show.
Sit through it, click all the buttons confirming that you have plugged everything in, repeat for the next 10 minutes (aaargh) and eventually it'll give you a nice, big button to press that installs the goode stuffe.
Also, you may as well start a manual connection instead of using the AOL crapware:
Start > Control Panel > Network Connections.
click 'create a new connection'.
Click 'Next >' to the 'Welcome to the New Connection Wizard' page, and choose the 'Connect to the Internet' connection type.
Then click 'Set up my connection manually'.
...'Connect using a broadband connection that requires a user name and password'...
Come up with a 100% random ISP Name, it doesn't matter anyway.
Now, for your username type your 'screen name'@aol.com
For example, if you were BobJonesJohn according to the AOL crapware:
In user name you would type BobJonesJohn@aol.com.
Capitalisation does matter, you may have to go back into it's Properties later and decapitalise it or w/e if I'm thunking wrong.
Then, type in your Password, hit next>, blah. Done. Once you've got the Username exactly right it'll even work, and you'll have a *normal* broadband connection that allows Internet Connection Sharing
(Note: Actually starting AOL will make it use your new manual connection by default, and it'll rudely block any DNS requests from computers trying to use Internet Connection Sharing.)
16-colour PNGs pwn.