1. Launch a command prompt with administrator privileges.
(Type cmd on the Start Screen, right-click the icon, and click Run as Administrator.)
2. Type netsh wlan show drivers and verify if Hosted network supported says Yes. If it says No, you are done. Your NIC doesn’t support Wi-Fi sharing.
3. Type netsh wlan set hostednetwork mode=allow ssid=Hotspot key=12345678
(Note that you can replace “Hotspot” and the security key with your favorite settings.)
4. Type netsh wlan start hostednetwork
5. Open the Network and Sharing Center in the Control Panel.
(Type Control Panel on the Start Screen and then Network in the Control Panel search box.) Then, click Change adapter settings.
6. Now comes the part that appears to be different in Windows 8 than in previous Windows versions. You will notice that a new network adapter appeared, called Local Area Network Connection, followed by a number that can be different from computer to computer. The device name is Microsoft Hosted Virtual Network Adapter. The ssid you used above (Hotspot in this guide) will appear under the name. If you see Identifying under its icon or just Enabled, be patient and wait until Hotspot (the ssid is used in step 3) appears.
[You may rename this as "Local Area Connection for HotSpot" for ease of use]
7. Right-click the network adapter that is connected to the Internet and select Properties.
(This can be an Ethernet adapter, a mobile network adapter, or your phone that is connected through USB. In this guide, it is my Samsung phone.)
8. Click the Sharing tab and then enable Allow other network users to connect through this computer’s Internet connection.
9. In Windows 7, if I remember it right (correct me if I’m wrong), you would have selected the Wi-Fi adapter under Home Networking Connection. If you do this in Windows 8, you will be able to establish a Wi-Fi connection to your Windows 8 Access Point, but your client won’t receive an IP address through the Windows 8 DHCP server. Thus you have to select the Local Area Network Connection adapter I mentioned in step 6 as your Home Networking Connection.
I find it quite amazing that it is so complicated to share an Internet connection through Wi-Fi in Windows 8.
Update: If you want to share Wi-Fi on your Windows 8 computer at startup please read this.