The network architecture in Windows 7 has been redesigned and is more advanced than being able to just create a WiFi hotspot.
On a Mac, you can create a WiFi hotspot, only if it is from an Ethernet/RJ45, modem (3G/dun/PPP), Bluetooth or FireWire Internet connection as your source. The built-in hotspot will then use either of these source Internet connections and make it available via a WiFi hotspot through the built-in wireless interface. But, if you are connected to the Internet on a Mac via WiFi in the first place, then you cannot use that same built-in wireless interface to create the hotspot. In short, what you are asking does not work on a Mac running OS X. But it does on Windows!
In Windows 7, the OS can "split" a single wireless interface in two (a WiFi card + a wireless router), so the OS and applications can connect to a wireless network with internet, and use the same wireless interface to create a separate WiFi hotspot (on which internet sharing can be enabled and multiple devices connected).
This is very handy if you want to connect only your laptop to the Internet on public WiFi, and the configure the other devices to connect via the laptop's hotspot instead of the public one. I have a proxy & VPN software running on the laptop and the other devices are then invisible to the public hotspot.
Another use for this Windows-only functionality is for software like Connectify that allows you to use your laptop as a wireless access point (AP) when you travel. For example, you might settle into a hotel room, pay for an Internet connection for your MacBook, and then want to share that connection with your iPhone, iPad, and other devices.
Lastly, if you use the "create network" option on a Mac, you can join a wireless network (like ad-hoc mode), but will NOT be able to use your wireless Internet connection. Good for sharing printers and files, but not Internet.