You can get them from Maplin or any other type of computer shop. What you're looking for is a network cable, sometimes called an ethernet cable, sometimes called a Cat 5 or Cat 5e or Cat 6 patch cable.
If your hooking the xbox up via a router or adsl modem or network hub, you'll just need a plain network cable. If you're connecting up two xboxes directly together, you'll need a crossover network cable.
They cost somewhere between �4 and �8 depending on length (0.5 to 10 metres).