Actually the firewall settings on the ICS PC do apply still.
You can also define IP used for sharing ICS shares to any pc so long as the gateway and dns settings are correct.
Also on a managed network there is the Remote Routing Admin tools which on a 2003/2008 server etc you can setup managed routing and firewalled connections.
And of course there is always ISA and this is pretty handy:
http://bandwidthcontroller.com/
Mdaemon Wingate also makes a very friendly proxy
But I have provided the alegro surf link.