I think ethernet

Now most of the computer will equip with ethernet card.
Suppose you are using windows, you might need a cross over cable or a hub to connect the two computers together.
1) Physical connect the two computers.
2) Set to the same workgroup like "workgroup" or "mshome"
3) assign IP to same sub group i.g. 192.168.1.1 and 192.168.1.2 with sub address 255.255.255.0
4) share some folders out in both computers.
5) turn off any firewall.
6) test the connect using ping in command mode.

good luck