Here's a pretty easy-to-grab-ahold-of-and-digest
Basic Networking Tutorial . Some of its a little dated, but it makes the concept and mechanics pretty clear.
With Windows from 9x on, 'specially if both machines are runnin' XP and have network cards, its really pretty drop-dead-easy to set up a simple network. For a little 2-machine network, even network cards easily may be done without. USB or Direct Cable hookups will work OK for most things, though Ethernet and/or Wireless generally will provide more flexibility, greater opportunity for future expansion, and higher data-transfer speed.
About the thorniest briarpatch out there for the average user is to construct a network that links machines having different operatin' systems, and even that ain't really hard to pull off - just gotta pay a little more attention to settings, permissions, and file types, is all.