You can order a disk for free from Canonical athttps://shipit.ubuntu.com/They
even pay the shipping. Expect to wait a week or two.

I would consider scrapping connection sharing but instead setup the router to do
the work. Connect the modem to the internet and then connect each computer to
the router as a direct connection rather than using connection sharing. The
router then does the work and each computer connects through the router the same
setup

on each (direct). I have had both cable and DSL modems setup this way and it
does not matter whether I am in Windows or Linux. My wife uses her Windows
machine to connect to the router and I use Linux and it just works without any
need for any connection sharing.

It does not matter what the OS, as long as you have a connection it will work
and it works whether you have always on connection or use something like pppoe
where you set it up to connect on demand.