It has one built in, but without a 3rd party app, you have to get really techincal (ie. you have to use the command line). I would highly recommend the application "Brick House". It can be found at www.versiontracker.com. Not only does it support NAT (Network Adderess Translation - the connection sharing thing), it also gives you a pretty good firewall.
This program provides a Network Address Translation facility for use with
divert(4) sockets under FreeBSD. It is intended for use with NICs - if
you want to do NAT on a PPP link, use the -alias switch to ppp(8).
Natd normally runs in the background as a daemon. It is passed raw IP
packets as they travel into and out of the machine, and will possibly
change these before re-injecting them back into the IP packet stream.