Wireless routers are plenty cheap, and have ethernet ports on the back in addition to being able to connect wirelessly. Get a router, locate the router and desktop next to the ADSL modem, plug the ADSL modem into the router's WAN port assuming the modem has an RJ45 cable, plug the desktop into one of the LAN (ethernet) ports with another RJ45, and connect the laptop via WPA-2 encrypted wireless. Both machines will be Internet-capable, you will be able to share data between them, and both systems end up sitting behind a hardware firewall (the router).
With the router and WPA-2 you will have a great firewall. Cheap insurance.