I'm refering to a Local Area Network, your internal network. get yourself a crossover cable and simply connect the two machines together, that will automatically set up a network. Of course with that option you will have to assign the IP addresses of the two machine manually, they must both be on the same network address sequence, say 10.0.0.1 and 10.0.0.2 will do it, or 192.168.1.1 and 192.168.1.2 will also do it.

For a more flexible network, that you can add extra machine to, get yourself a network switch, they are quite cheap over here, so I expect they will be over there. Get straight through cables (2) this time (not crossover cable, that only works when you connect two machines direct). You will have to assign IP address, as above, though.

more expensive, more flexible option, get yourself a Wireless router, you may have to get one that has ADSL ability, but that doesn't matter, you won't be connecting it to the internet. install wireless cards on both machines, the machines will be assigned IP addresses automatically.