You need a crossover cable, available from all good computer stores.
See Fredgs answer to earlier question.
"Hi,
Here is a link:
http://www.microsoft.com/windowsxp/u...ussel_hni.mspx
Scroll down to about 1/2 way, for a picture of using just a simple CAT5 "cross-over" cable to connect two computers; under the heading "How do I Connect Two PC's Together".
It also explains how to use windows to set it up; providing you have two ethernet cards."