Connecting a MacBook Pro to a Windows ad hoc network
You've set up the connection correctly, but it looks like you haven't set the Windows machine to allow other computers on the ad-hoc network to access the internet. Here are the steps you need (shamelessly taken from this blog post):

Note: I assume that you have ensured that the Windows machine is connected to the internet through some non-wireless method. If not, you definitely need to do that first, otherwise there's nothing to share.


Click on the Windows icon, and type View network connections and press enter.
Identify the wired internet connection and the wireless card. Locate the wired internet connection and right click on it. Select Properties.
Click on the Sharing tab. Make sure the box Allow other users to connect through this computer's internet connection is checked.