Also, you can look at your network cable to see if it's a crossover cable. Just look at the clear plug on both ends, and if the colors of the wires are in the same order, it's not a crossover cable. If they don't match, then you're in luck.
I know that Apples can use either to connect two computers directly, and I imagine there are programs out there that can make it work (but maybe not) with a normal network cable. And it would probably be less work to buy one. It would actually probably be less work to cut the wire and make a crossover cable yourself than to try to find the program I'm talking about, because it may not even exist.
I believe if you go into "Network Neighborhood" there should be a wizard of some sort to guide you through creating a network connection. If not, then basically, what CBass said is right. Just make sure they're in the same Workgroup (Start->Settings->Control Panel->Network->Identification) then restart both computers. Then, if you want to share folders, etc. go back to the Configuration tab and click on "File and Printer Sharing" and choose "I want to share my files" and click OK. To share a specific folder, open it in Windows Explorer, then choose File->Sharing->Share
