This is a guide to getting your Xbox online using either the Gamespy or Xbconnect networks. 
Broadband only of course.

You'll need to buy a couple things:

1 Ethernet Hub (at least 3 or more ports)

1 RJ-45 wire (your basic ethernet wire, only has to be maybe 2 or 3 feet long, 
just has to reach from your hub to your computer)

1 RJ-45 wire (must be long enough to reach your Xbox from your computer, 
in my case it was 25 feet long)

Here's what to do:

1. On your hub there should be a button called "uplink". Push it in if it isn't already.

2. Unplug the ethernet cord from the back of your computer that is connected to your modem. 
Put it in the "Link" spot of your hub.

3. Plug the smaller RJ-45 wire that you bought into one of the free slots in your hub, 
then plug the other end into the back of your computer. You should now be able to go online 
like normal.

4. Take the long RJ-45 wire and plug it into another free slot in the hub. 
Now plug the other end into the back of your Xbox.

Here's a picture which might help you (it's the first one): http://www.xbconnect.com/setup.htm

5. Now you can download the software you want. If you want to use Gamespy you can get it here 
http://www.gamespyarcade.com/support/tunnel_xbox.shtml

Gamespy has more players than Xbconnect but tends to have more lag too. 
And if you don't "register" (i.e. give them 20 bucks) 
you get this really annoying ad that pops up every once in a while 
and you can't close it until after about 30 seconds.

If you want to use Xbconnect (my recomendation) you can get it here: 
http://www.xbconnect.com/download.htm

Whenever you want to play a game of Halo online go to multiplayer> system link. 

Of course you have to connect with another person's Xbox in order to play, 
you'll have to enter a "room" in either Xbconnect or Gamespy for that to happen. In Gamespy
You must wait for the host to "launch" the game before your Xbox systems are connected, whereas
in Xbconnect you have to simply enter the room.