What operating system are you using. If its XP it is a doddle, did it about a month ago. Just go through the network wizzard, it allows you to surf the ineternet from the 2nd pc plus you can file share, share a printer etc. Both pc's need to be on though.
All you need is a NIC (network interface card) £10, and as said a cross over cable, very important, it has to be a cross over cable otherwise it won't work.
If you want to connect 3 or more pc's then you are talking hubs etc.
Depending on how many NIC's you need and length of cable shouldn't cost more than £50
a couple of sites
http://networking.ittoolbox.com/ http://www.annoyances.org/exec/show/category04