There are a lot of different ways to connect two computers together so some more information may be helpful.
Do you just want the two computers connected to each other so you can share information between them, but neither of them connected to the interent.
Or do you want them BOTH connected to the internet so they can both use the internet at the same time, and maybe also share information with each other.
Are they both PCs or laptops, and what operating systems are on them.
Are you already on the internet, and if so dial up or broadband. Do you want a wireless link ?
Sorry for all the questions but there is no simple answer to the question you asked.