Ethernet Crossover Cable - You first must have an ethernet network interface card (NIC) in both computers to use this method. If you are using ethernet cards with RJ45 jacks (similar to a phone jack but wider), you simply need an RJ45 to RJ45 Category 5 Crossover Cable. Link, Link2
Regarding the "software" side of connecting the computers, you will probably need to assign TCP/IP, NetBUI, or IPX networking protocols to your ethernet network adapter card (found in Start> Settings> Control Panel> Network).
If using the TCP/IP protocol on your network adapter, you will probably need to assign different IP addresses and the same subnet masks to the TCP/IP properties of each computer: Computer 1 could be IP 192.168.0.1 & subnet 255.255.255.0, and Computer 2 could be IP 192.168.0.2 & subnet 255.255.255.0. You might also need to type in the same Workgroup Name in the Identification tab.