1) You can use Internet Connection Sharing (ICS) in Windows 2000 Pro, Windows XP (Home and Pro) and presumably also Windows 2003. The Internet Connection created using the supplied modem software (and USB cable connection) can be used for ICS. If you enable ICS then the IP address for that PC will be set to 196.168.0.1 and it will also act as a simple DHCP server (for Win2k and WinXP anyway, which are not "server" products). Windows Server 2003 has enhanced "server" features, so may act a little differently (I haven't used Windows Server 2003, so I don't know).
The MTU on the "server" and "client" machines must be a maximum of 1458. On Win2k you have to manually set this on all the client PCs. WinXP (with Service Pack 1 installed) on the ICS machine has a fix to automatically clamp this, so you don't need to set the MTU on all the client PCs. Don't know about Windows 2003.
Use can DrTCP (from http://www.broadbandreports.com/drtcp) to easily set the MTU.
I have successfully useed ICS with Win2k, WinXP Home, WinXP Pro and Win98 clients machines.
2) If you have an old PC lying arround you can use Smoothwall (http://www.smoothwall.org/) to create a PPPoE router. You will need two network cards in the PC and an Ethernet cable for the MyWireless modem.
3) If you are wanting to add IEEE 802.11b/g wireless capability to your network then a wireless Access Point with PPPoE router functions is a good option. I have tested the D-Link DI-624 successfully. Wireless routers from other manufacturers are also available. You will also need an Ethernet cable for the MyWireless modem for this configuration.
