You will probably get a hundred replys with different ways to do what you want to do, so I'm jumping in first.

I would buy a little router for about forty dollars plus the cost of cables.
That way you can not only play games with your friends, but you can have both computers on the internet (via the router) at the same time.

Hope this helps...

I second Gandalf's motion.

Alternatively, if you want to connect your PCs directly with a cable, you will need a crossover cable, a straight through cable just won't work unless you are running through a router, hub or switch.

Also, both computers need to have different IP addresses.

If they are not connected to the internet, I'd recommend using the following,

IP ADRESSES:

192.168.1.100
192.168.1.101

SUBNET MASK

255.255.255.0 (for both)

again if you are not using a router or connecting to the net, don't worry about the default gateway or DNS server.

if you want to connect to a router, you can generally leave auto-config on for your network settings and the router will take care of the rest using DHCP.

A crossover cable is easiest, just follow the directions above
There are also cables that you can use to network two PCs together by the Serial port or Parallel port, but that's a bit more difficult to set up and I'm not entirely sure of the process