I have done this successfully before, so I had a quick look again.
1. Select Custom.
2. Choose OK until you get to Internet Connection Sharing.
3. Choose No.
4. When you get to Trusted Networks, enter the IP address of the Windows machine. Note that this will only work if it has a static IP address. Otherwise, specify your entire subnet, like 192.168.2.0/24.
5.Start the firewall.