OK I revamped my setup a bit to help others that may not have access to NT Server and Proxy 2.0 (both a pain to configure at times...)
1. First you need a serial NULL Modem Cable as documented elsewhere on Aminet for example. Normal serial cables and NULL Modem box at Radio Shack works fine, as well as a couple of 25 pin to 9 pin adapters to fit on the box and the amiga's serial cable will be required as well. I first tested the connection with Terminus2.0 (Amiga) and Hyperterm (PC)with ZMODEM protocol.
2. Next I downloaded
Browsegate 3 and installed on the PC, pretty much with the default settings. I enabled DHCP and DNS, and found it worked fine, but you may assign staic IP's on the amiga if you wish.
3. Next I downloaded MiamiDX, and I really wish I could remember where I found it, but I suppose you could just use Miami as is. I just found the MiamiDX easier to configure, and with more options.
4.
Ami2PC-TCP.lha on aminet works better as a null modem installed on the PC to use instead of the "connect 2 PC's" device on Windows (98 to XP). I found I had the best luck achieving successfull connection with this Null Modem device available here
mdmhayes.inf . You can try both and see which one works out for you, as I found the first few attempts to connect pretty hit and miss.
5. To set up the connection follow the instructions for Browsgate, that are quite good, and although they are aimed at the different Windows platforms, you can configure the Amiga by also following the Miami.guide at the same time. Note that Browsegate has a 15 day eval period, but is helpfull to get the idea. You can replace it later with Wingate later if you wish. As for myself, I am going to try Server 2000 with ISA Server next...
Hope this helps!
Note also that I am using a 68030/FPU A500 running OS 3.5.