Easiest is to set up an ethernet network between the two machines. Most expensive bit would be a PCMCIA card for the laptop, but the whole lot will be less than a £100 or so and at 10Mb/s it is nice and quick. Many laptops have them built in. If you're going to be transferring stuff regularly it is definitely the way to go.
Null-modem cables (parallel port to parallel port) are much cheaper, but slow. If you're doing it once only, then this is worth a look.