Yes, you have to have it on all the time. Or, just times when you want the second PC to access the internet. Oh and BTW, ek, was right in the beginning when he sauid that you need a router to share internet access. Actually, let me get one thing straight right off the bat. These soho "routers" that have become so popular in the past 4-5 years are actually gateways! Just the NAT functionality of the gateway works as a router.....thats it. It's a gateway, router and usually a multi-port switch.
But, as ek said, you need a router......well, yes, you need a gateway and a form of routing. ICS provides a software version of both of these.
-Mike