Why would you download the Belkin Software and try using it if you don't have the Belkin Hardware to go with it?

Of course it's not going to show up if the hardware isn't there and it was just used as an example of one way to do this and you need to be substituting the ICS capable Device that your using not what I used as proof of concept.
Your document didn't indicate the actual hardware was necessary. I thought it was simply a way to connect to the airport.
While I didn't explicitly and specifically state that in the document itself nonetheless in the opening post of this thread I did state...
"While the information presented in this document was written on Mac OS X Tiger and VMware Fusion Windows XP Pro Virtual Machine using a Belkin 54g WiFi USB Network Adapter to provide the Guest's Internet Connectivity the foundation and general directions presented should work on any Device that Internet Connection Sharing can be enabled on. It should also work with Mac OS X Leopard and or Microsoft Windows Vista as well although the graphics and explicit directions would vary."
The keywords of course "using a Belkin 54g WiFi USB Network Adapter to provide the Guest's Internet Connectivity"...
So I have to say I fail to see how one could be confused by what I said or the directions in the pdf document. The bottom line is obviously if one is not using exactly what I have used then one needs to make the appropriate substitutions while using the context of the overall steps to fit ones own situation and this is typical and quite normal with directions that are written with specifics for what one has to test with and to show proof of concept and don't forget another key part of what I said and that being...
"... the foundation and general directions presented should work on any Device that Internet Connection Sharing can be enabled on. ..."
Assuming you're enabling ICS on the Target Device (not the driver) then answer the first two question so I can see about generating more current directions.
I went into Network control panel, selected the phone's LAN connection, then Properties, Advanced, Share.
If by that you've enable Internet Connection Sharing (ICS) on the target Device then assuming you've followed the directions correctly it should work.
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Okay I had a little time to take a look at this and just so you know there are known issues with Apple’s built-in AirPort under OS X Snow Leopard 10.6 that hopefully will be corrected in 10.6.2 since these issues were not addressed in the 10.6.1 update. That said I was still able to follow the directions in my document to enable the Host to use the Guest’s Internet Connection and it didn’t require doing anything other then what is described in the document and with the exception of the AirPort icon not turning black after connecting and receiving an IP Address from the Windows ICS DHCP Server otherwise it just worked as described. Of course the dialog boxes surrounding the creation of the Computer-to-Computer after clicking Create Network… on the AirPort icon was a bit different between Tiger, when the document was created, and Snow Leopard but the basic steps as described and adjusted for the OS versions idiosyncratic differences just worked.
I also tested using a Mobil Broadband USB Modem while enabling ICS on it and it too worked and again except for the now noted exception of the AirPort icon described previously.
Also note that it did take a little time,
I think less then 30 seconds, for OS X to acquire the IP Address from the Windows ICS DHCP Server and showed the typical self assigned one at first however it did automatically acquire a valid IP Address and I was capable of connecting to the Internet on the Host via the Mobil Broadband USB Modem on the Guest.