Vonage is feeding you a line my friend. Internet sharing is never on by default on a Mac because it can be configured in a number of combinations. Unfortunately you want to do it in one of the most complicated ways possible, if possible.
Personally I am in serious doubt that you can do it. The easiest way to share internet on a Mac is when you share an Ethernet connection over AirPort with other devices; laptops, ipods, etc. It is very simple and straight forward to configure. One of the most difficult to configure correctly is an AirPort connection to other devices over Ethernet. What you want to do appears even more difficult.
Normally configuring the Mac is easy;
1. In Sys Prefs/Sharing highlight Internet Sharing (do not check the box)
2. Share your connection from: USB yada yada (from the dropdown menu)
3. Check the box for Internet Sharing
4. Answer any dialog boxes that pop up
The hard part is configuring the device to connect properly to the Ethernet connection provided by the Mac. Have a look at the link below where I describe how to configure a Mac to share a wi-fi connection over ethernet with an Xbox. What you want to do is similar. Unfortunately I do not think that Vonage will give you access to the Vonage adapter to give you the exact configuration that you need to make the connection.
http://discussions.apple.com/thread.jspa?messageID=10804983#10804983
However, the fact that your USB device is not appearing as an option in Sys Prefs/Sharing/Internet sharing is an additional problem!