U have plenty of options to connect.
1. The cheapest way to go about it is get a cross over lan cable. It's easily available from any hardware store. This method is the easiest if you just want to connect two machies together. Read this post for how to go about it.
*www.thinkdigit.com/forum/showthread.php?t=29672&highlight=crossover
2. Alternatively you can get a router, and set up a full fledged network, but will require the cost of addtional hardware.
Cheers
Aditya