No, the USB link is a little cable with a USB plug at each end and a small device in the middle. It's not just a plain cable - they are available, but I was warned that those can cause damage.
The software is like a latter-day Laplink: a program that you run on both machines, and which then allows you to transfer files either way. It looks a bit like Windows Explorer, but with two windows - "this machine" and "the other machine". I keep the lead and the CD in the bag with my laptop, and have done quite a bit of "sorting" of other people's computers using it.
It doesn't use Explorer or My Computer - if you want to do that, then it's the "network" arrangement.
I paid about £10 for the USB cable and the CD of the software (Ebay!).