yea thats the set up i use. heres how to do it.
1) Set your computer up for internet connection sharing(ICS)
to do this you
a) Right click your broadband connect (for me its tiscali broadband)
b) properties > Advanced TAB
c) and tick "allow network computers to connect using this computers internet connetion"
2) Now attach a CROSS-OVER cable to you network card and and then to the Xbox
3) connect to the broadband service.
4) turn your xbox on and select the xbox live option on the menu
5) let your xbox detect your network settings
NOTE: If you cant connect go to advanced settings on the xbox live settings and enter the network name of your computer, it helped the first time i connected to LIVE.
Add to my rep if it helps cheers!