If you're using internet connection sharing with Windows XP you could also skip the router and set up an AD HOC network just using the two wireless nics, one in each PC.

Yeah, ad-hoc is an idea but you'll need one computer running for the other to be able to connect.

And yeah wireless cards come in a few varieties usb, PCI and for laptops PCMCIA there is also a few different standards, 802.11b, 802.11g and the new draft 802.11n, Depends on the speed you wish to achieve, if its just for internet connection sharing 802.11b would be sufficient, for sharing files I'd go with either 802.11g or n.

Heres some more info if you wanna read up.

IEEE 802.11 - Wikipedia, the free encyclopedia