If both PC's have network RJ45 connectors, then you can connect both PC's with a Cat 5 ethernet crossover cable (costs about £2.50 on ebay).
If you are using a fairly recent Windows (or even Linux) system then using Network wizard the system should set itself up and connect both your PC's.
I recently set used a crossover cable to connect a laptop running Linux and Windows ME with a Desktop running XP Pro - Network Wizard set itself up in about 3 minutes without me having to set any parameters.
Speed is the same as normal networking speed for file movements