The hardest part about doing this is finding something called a "crossover" cable. It looks like your standard CAT-5 cable (because it is). The only difference is that the wires are crossed, hence the name. Having one of these connected between your two computers will accomplish what you are trying to do. Also, don't forget to choose a common protocol like TCP/IP or NetBEUI on each computer!

Let me know if you would like more detailed information - I would be glad to help!