use CAT5  cross cable and connet it to ur both computers LAN CARD.

yeah you can use UTP-CAT 5 and make it cross or buy it but as above guy said ...it will be slow Regards

You can use CAT5 UTP (Cross-over cable) if you have LAN cards, but the most economic way is using the COM ports, this way: PINS: 2>2 8=>8 It only needs three pins and when u want to use it select Xon/Xoff if direct cable option are available.