If you want to use wires(much easier and cheaper than wireless) then you you need 2 ethernet network cards (you may have one already built in, it looks kinda like a phone line socket, otherwise you will have to buythem and plug them into your motherboad yourself)

You will also need acrossover cable. The cable must be crossover. They are more expensive usually than the regular "patch" ones. Do not buy a patch one as it is not suitable for directly linking two machines together.

Once you tell us whether you want to share your interner access then we can tell you how to actually configure your network. What operating system are you running by the way?