There actually are two somewhat different "network setup" wizards. You get into either or both of them at the same Start|Settings|Network Connections place, or you can go to Control Panel and choose the setup wizards there.
You need to run the "internet connection" one in order to have your computer be able to connect to the internet. If you have a hub, or router, or if you use ICS on one computer that has an internet connection, you can connect several computers to the internet, all going through the same "wire that goes out of the house to the internet."
If your computers all connect to the internet through the same hub, bridge, router, or "ICS host" computer, you usually have all the physical wiring/hardware you need for the computers all to talk to each other; but in order for the computers to "talk to each other" you have to run the "network setup" wizard to set up a network and tell each machine that it's part of the network. While running the network setup, you tell your machine it's okay to talk to other machines on the same network, and you can, optionally, allow other machines on the network to use peripheral devices like printers and scanners that are connected to your machine. With recent updates to WinXP, you have to choose to share the printer when you run the network setup - create your LAN network - on the machine that "owns" the printer. With outdated WinXP, or with other earlier OS versions, you could just open the Printers and Faxes plug-in, right click on a printer and click the "Sharing" tab after you've created a network to handle the sharing.