If you set up internet sharing on the windows machine and leave the Pi with default settings it should connect to the internet through the windows machine as well, but you'll need to interrogate the windows machine to find the IP address its doled out to the Pi to ssh into it. Far easier to connect the Pi to the router.
How many ways of skinning a cat do you need ?
Don't judge Linux by the Pi.......
I must not tread on too many sacred cows......