In the "Properties" windows tick "Use the following IP address" and set up the address of you choice. I suggest you to use 192.168.0.1 Subnet mask 255.255.255.0 as on the scr shot. Because this is the windows default IP address for the ICS and if you put a different one it is going to change it any way when we are setting the ICS. I will explain you later how to by pass the windows default IP address for those of you that already have a connection sharing setup and this is going to create conflict on the network. We all know that on the same network the IP address have to be unique.

Click ok until you see "Bluetooth Properties" window back to you screen.