Haven't done it myself, but the analogous service in Vista is called Internet Connection Sharing (ICS). Start here for some help. You could set up an ad-hoc network to the Wii.
To be honest, I think ICS is rather outdated and silly, given the abundance of cheap, reliable wireless routers available today. You gain a major step up in security running your home network behind a NAT/SPI router, as well. Food for thought.