my recommendation would be to pick up a sonicwall soho 10/50 firewall (or similar). they are affordable (~$500 - $1000) and will act as a gateway, dhcp server, nat box, firewall.... basically, they're great and easy and effective. even has a built in 4-port hub. you can get software add-on's like virus protection (end-user transparent and no maintenence on my part), content filtering, and vpn client access. ours took less than an hour to install. if you have a smaller network (like, say 3-5 client computer) then a simpler box may be in line, such as the d-link di-707. only costs about $130, and has a built in 7-port 10/100 switch. not nearly as fancy as the sonicwall, but i use it for my 10-computer lan at home with my cable modem. that took less than 10 minutes to set up and configure. you just plug the ethernet cable from your dsl/cable modem into your di-707, then plug in a computer with dhcp enabled. in a we browser go to 192.168.0.1 and configure away (basicaly enter your isp's dns servers). then, plug in the rest of the computers, making sure dhcp is enabled, or assigning them unique ip addresses on the same subnet (i use 192.168.0.2 - 192.168.0.7 for my servers). the dhcp range is from 192.168.0.100 - 192.168.0.199. you can add more computers if you want by adding mor ehubs or switches. i've got a 10bt hub and an 802.11b wireless accesspoint piggybacked off my di-707.
anyway, windows CAN do all this stuff, but a dedicated firewall/router/gateway does it better, faster, and more reliably. they also provide your server with a certain amount to protection as it's now private behind a firewall. if it ain't broke, i haven't touched it yet....