You need a crossover cable, sometimes called a cross-patch cable. They cost a few pounds from most PC outlets and you literally plug one end into each computer.
You need to set at least one folder on each machine for sharing. To do this you right click on the folder, click on Sharing and Security, then follow the prompts to enable file sharing.
It can also help to assign static IP addresses to both machines so that as soon as they are plugged into the "network" which, in this case, will be nothing more than the machines detecting a "live" feed from the cable, each machine will know where the other is due to assigning a constant address.
If this is all a bit confusing - most people find that it is when they first start out - you can just use the network connection wizard in your Control Panel which normally gets people up and running quite well.
There's a pretty good article on the Microsoft site on how to go about simple networking using the wizard: click here
If you come unstuck, post again and one of us will walk you through the whole process of assigning static IP addresses.