You can connect two machines via a crossover cable which is very simple!
Step-by-step on how to connect two PC's via cable
This describes the procedure to connect a PC with a laptop, which enables a user to use Remote desktop feature and internet connection on both computers.
PC ---------------------------- LAPTOP -> wireless connection to internet
1. Go to Control Panel -> Network connections
2. Right-click on Wireless network connection and select Properties
3. Select Advanced tab and put a thick in the box "Allow other network users to connect to this computer's Internet connection"
(You can also put a thick in the other box if you wish)
4. Confirm with the OK button and find yourself back in the Network connections window
5. Next, in Network connections Right-click on your LAN adapter, under General tab select Internet protocol (TCP/IP) and click Properties
6. Assign IP manually (192.168.0.1 - this is also the default if you use Network connection Wizard) and Subnet mask (255.255.255.0 - also default)
7. Next you must assing (one or) both DNS servers (I used the one ISP provided) - the most important thing to do is to use the same DNS when you configure the other computer!!!
8. Confirm everything and this computer is done...
Configuring PC (if you don't want to set-up Remote desktop, where PC is the host computer, start at 4.):
1. Go to Control Panel -> System -> Remote tab
2. Put a thick in the "Allow users to connect remotely to this computer"
3. Confirm with OK
4. Go to Control Panel -> Network connections
5. Right-click on your LAN adapter, under General tab select Internet protocol (TCP/IP) and click Properties
6. Assign IP manually (for example 192.168.0.2 - has to be in the same range as the IP on the other computer, but different!) and Subnet mask (the same as on the other computer - 255.255.255.0)
7. Assign Default Gateway (which is the assigned IP of the other computer, in this case 192.168.0.1)
8. Assign the same DNS as on the first computer
9. Confirm everything...
Everything should work now. Remember you have to use CROSS-OVER CABLE. If you are having problems with the connections try "playing" with the Firewall settings (under Exceptions and Advanced tab).