I have two computers linked together with network cards (LinkSys). I have a long 8-conductor cable and a special adapter on the one end (you need that to reverse the wires).
Windows XP Pro wizard does the rest!
As a matter of fact. I have an additional network card for my DSL.
If you want to connect 3 or more computers, then you need a hub.
Play "Unreal Tournament" on a network is so cool!