You can achieve what you want by just using a RJ45 crossover cable but the PC with the internet connection will have to remain switched on and connected to the net for the other PC to have net access.
First you need to make sure that both PCs are in the same workgroup. You need to do this so that they can see each other on the network. Right click on My Computer; Properties and then the Computer Name tab. You'll see the workgroup name listed and these need to be the same on both PCs. If they aren’t click the change button and make them the same.