Russ
If you look towards the end of the thread noted below you can see the steps that I followed to create a working ad hoc connection between my Axim and a laptop.
http://www.aximsite.com/boards/showt...&threadid=4527
This tutorial from Aximsite has the steps you need to follow to make sure you have the right settings for doing wireless ActiveSync.
http://www.aximsite.com/modules.php?...rticle&artid=3
The MS tutorial that you have already looked at talks about Internet connection sharing. Between these three, the information you need should be in there. I would personally love to write up a step by step process for this, but I have no ability to test what I suggest since I cannot have my laptop connected to both WiFi and the internet simultaneously (both cards can't fit in the laptop at the same time), hence no ability to verify the Internet connection piece.
Networking is tough and can be some trial and error, especially if you aren't familiar with the tools and terminology. Perhaps the suggestion to just go out and buy an AP or router will solve your issues, but it could just as easily create some new ones. I would suggest instead that you search as much as you can on this site and others to understand the pieces and make sure you know how everything is supposed to fit together before you go throwing hardware at the problem.