The tutorials sections of this forum exists for such purposes. You will find tutorials related to connecting two computers together and sharing internet connections on them there. Please do search before you post.
Anybody with Two computers at home can connect directly with each other using a CAT-5( Or 6?) Cable. And also, here both the computers need to have "LAN card or on board LAN"
This method is fastest and cheapest
How to configure in windows is again a different story
Connect both the PC's to the modem. And configure ur modem. See the link goven below to know how to configure ur modem. Choose ur modem and thn select Configuration for Multiuse.