You need to connect the 2 PCs using an Ethernet Cable, plugged into their LAN-cards/ethernet port.
If you have to connect more than 2 computers, they can be connected through a hub/switch/router, wherein, the cables from all the computers go into the hub.
The networking is generally handled pretty well by Windows XP and later versions, so you need not worry about the settings and the IP addresses.
If you can tell us what exactly are you looking to do, we can suggest the best alternative.