So finally it works.
What I did was enable Microsoft Virtual WiFi Miniport Adapter (Wireless Network Connection 2). I shared my cable connection to it.
And then from command line:
netsh wlan set hostednetwork mode=allow ssid=VirtualNetworkName key=Password
netsh wlan start hostednetwork
(replaced the VirtualNetworkName and Password of course)
It's not the ad hoc network I originally wanted. It's better.
Note I did install a
hotfix to make it work since the start command resulted in an error at first. Also an hour or two of googleing was needed.