If you've got WIn2K (and I think 98 & ME will do this too), all you need is a cross-over cable. This is a cable like a normal network cable but wired slightly differently.
Plug it into both machines and complete the Make New Conection wizard in the Network Applet of Control Panel. From one machine, search for the other (using machine name). You'll need to make sure the network adapter (the card you plug the cable into) is all configured and your PC is seeing it.
This works very well for me. Best of luck.