With xbconnect or kai you don't have to configure NAT, the programs on your PC do the job.
Follow this well-done tutorial here:
http://www.xbox.com/...nect/choose.htmThis is for Live but it's the same.
The "direct" connection is not supported. If you have no router choose the "shared PC" scenario and learn how to enable ICS on your PC. Then configure your dashboard to either:
- use DHCP ("automatic configuration"), this is recommended but be aware that your Xbox's IP may change if you have other machines using DHCP
- use 192.168.0.whetever as IP address, 255.255.255.0 as subnet mask, 192.168.0.1 as gateway and 192.168.0.1 as DNS1 (or whatever your PC's IP address is).
If it still doesn't work and you have a third-party firewall like ZoneAlarm or Norton, it may need some tweaking.
If you need more info
http://www.chefelf.c.../networking.php is valuable too (but doesn't talk about any DNS configuration).
I won't reply to any network configuration issues from now on, please refer to this thread.