When the option button "Turn on Internet connection sharing" went missing, just apply these simple steps, I implanted these steps for Windows 7:
- Open Network and Sharing Center via Control Panel/Taskbar.
- On your top left, go to "Change adapter settings".
- Look for any connection which was set as default connection (with a green tick icon), right click on it and click "Cancel as Default Connection".
- Now, right click again on that connection and hit "Properties", then go to the "Sharing" tab.
- Lastly, uncheck "Allow other network users to connect through this computer's Internet connection" and click "OK".