Ok, I bet this is the problem then.
Unfortunately, I don't have the slightest clue how internet sharing works under Windows.

I don't even know whether you can set up port-forwarding using that feature or not. Windows doesn't seem like an decent router system to me, but maybe I'm wrong.
Maybe someone else here has some experience with Windows internet sharing or maybe you can find some instructions on the web.
If everything else fails you can always shell out $40 for a real router and have that manage your internet connection. An added bonus of this scenario would be that the PC would not have to run in order for the Mac to have an internet connection.