hehe knucles beat me to it, i recall seeing that diagram before, i was just going to write it out. A cross over cable can connect two computers together, if you're gonna do this all the time, or you have broadband connection, you can get a broadband router that has a tiny el cheapo switch built in. these switches are nothing great, even the fastest switch with the fastest forwarding mode (cut through) introduces propagation delays.
You should be able to buy one from CompUSA, or you'll need to get a pair of crimpers, two RJ45 jacks and some cable, cheaper to buy it. I make them for my own network and for client sometimes when they don't have the factory made ones, but I also have two cable testers to test continuity, length, pin out error, etc., it's not the $5000 tester, if I installed cabling for a living I'd get one.