The answer is yes. I know how to do it on a Mac. It's rather simple really. I'm sure there's a way to do it in Windows as well.
On a Mac:
1. Hook up the hotel's LAN cable.
2. System Preferences > Sharing > Check "Internet Sharing" > Select Share your connection from: Ethernet; To computers using: Airport.
3. Click "Airport Options" and fill-in the required Network name, encryption and password.
Voila! You have your own mini-hotspot with its own SSID and Password.