From what marysduby said, I surmise that he is using Internet Connection Sharing (ICS - A feature of XP) using a Ethernet 10/100 connection between the machines and his regular dialup out. Under these conditions, neither machine will slow down the other except in the very minor case when the ICS machine is moving data from or to the net for the connected (second) machine. This however would be almost undetectable and would be only for brief periods when the agent on the second machine is communicating with the WCG.

Relative to catching a cold; there is some possibility of that but if the machine that is connected to the net has a firewall and the two machines do not share disks, the chances are legible.

I would encourage people to do what marysduby did as it is reliable, relatively cheap and effective.