It’s very easy to setup a wireless Adhoc network between two computers with wireless adaptors for data transfer. There might be scenarios, when one of the computer not be having wireless card. Using a cross over cable can help but slower speeds.
I saw some interesting USB cables which help connecting two computers without any additional driver and allowing data transfers up to 480Mbps which an option to share Internet Connection. This only work with Windows Vista, XP, 2000, ME, and 98SE. Below are there different cables with different specifications and prices.