Sure, you can link them.

But are you wanting to share one of the machine's internet connection?

If not, just make sure your ethernet cables are crossovers and plug them in. Be aware that the machine two will see both of the other boxes, but 1 will not see 3, vice versa.

You can't get them to act like a switch or hub, but there are ways around that.

peer to peer isnt the best idea for more than 1 computer in all reality.

youll need a router in the long run

Feigned => yes, i've got a shared internet connexion on one of the machines so this solution isn't the best... Anyway I wanted to save my money in avoiding buying a switch but, i took a look on the web and prices have felt :
switch 5 ports : 20 €... (yes, i'm european :p)
So, i'm gonna get one right now ^^^
Faranth => hum, i think that for now, due to my founds, a switch will be enought

thanks, @++

you can try using a bnc connector instead of the rg45's. you can make it a linear network, making you share the internet connection.