Now you need to consider about this case. The error can be due to the Firewall in Disable mode. No matter you are using an external antivirus software like Kaspersky, Norton etc. Just enable your Firewall and check Internet connection sharing again.
For enabling and making Firewall as automatic starting, follow the instructions below
♦ Click on the Start Button
♦ On the Search box type services.msc and press Enter button
♦ Now you will see a window with lot of services.
♦ There you could see a service for “Windows Firewall”.