I don't know how to bridge the windows_guest to the mac_host. What connection should I bridge? The Dial-up or the LAN?
In VMware Fusion you should use Virtual Machine > Network > Bridged
What is a NIC?
Network Interface Card (NIC) or network adapter. What i mean is this: your connection will be shared as:
USB modem <-> USB <-> VMware Fusion guest OS <-> usb modem driver <-> Local Area Connection (virtual NIC set to Bridged mode) <-> OS X Built-in Ethernet or Airport (attached via private access point)
I just tested this with XP-SP2, a Palm Centro USB modem, two MacBook Pros (both shared the USB modem), so I know it works.
1. In order for the guest OS to bridge to OS X, you have to have an active OS X network connection that Fusion bridges, right now that's wired Ethernet or wireless Airport. It's not enough for these to be "on" you must have "link status", e.g. Ethernet must be plugged into something like a hub or another computer. For Airport, this means it's attached to a working access point like an Airport Express or Extreme. If the hub or wireless access point had Internet access you would normally be done, but they don't.
2. Next step is connect your USB modem and connect to the Internet. This is specific to your usb modem. I have a Palm Centro so I connected it to the Internet using a usb modem app that i own. Test your connection to make sure it's working.
3. Following step is to turn on Internet connection sharing, in XP that's done with the Network Setup wizard, which is in Control Panel > Network Connections > Network Tasks > Setup a home or small office network. Click through the Welcome screen and "Before you continue..." then select "This computer connects directly to the Internet. The other computers on my network connect to the Internet through this computer.", click Next, then pick your USB modem, e.g.
Turn off your Windows Firewall or DHCP requests from other machines may be blocked. After that's done you're sharing your USB modem connection to Local Area Connection which is bridged to Ethernet or Airport and your OS X box can now share this connection.
4. In OS X, I didn't immediately get a connection, so I set my Ethernet address manually to 192.168.0.2, net mask to 255.255.255.0 and gateway to 192.168.0.1 (these come from the settings in Local Area Connection in XP with the exception of changing the IP address from 192.168.0.1 to .2). My other MacBook connected by an Ethernet cable to the machine running Fusion got it's DHCP address from Fusion XP. After these steps both the MacBook running Fusion the second MacBook I used to make Ethernet active had Internet connectivity through the USB modem in Fusion.
I double-checked that no MacBooks were cheating (Airport was off in both), by visiting whatismyip.com and it showed they were connecting through the USB modem (over the 3G wwlan connection)