System to system direct needs a crossover cable.
This is where the data lines are "twisted" so that what i from the output of one goes to the input of the other - and vice versa.
You can see the difference if you look at the colours of the wires at each end. If the colours are in the same order at each end, then it's NOT a crossover cable.
If you use a hub, a switch, or router to connect the systems together, then you use "straight" cables - the "twisting" is done inside the device. Some smarter switches can actually use either type of cable, as the automatically sense the cable configuration, and adjust themselves to use it.
You can share an ADSL connection either by using a router, or by connecting the systems together directly, and using a modem. If you use a router, each systems connection to the line is independant of the other. If you use the modem approach, then the system with the modem always must be on if the connection to the line is required, as it controls access to the modem.