Or, if your lucky enough to have an ethernet based router/modem you could get 2 normal CAT5 Cables, and a Switch/Hub (unless your really lucky and the router/modem has an inbuilt swtich/hub) and then plug them all in and set them all up with ips/subnet etc etc (some routers have a DHCP server, which makes this easier if you dun intend to do port forwarding)
I would reccomend going for the swtich/hub + cat5 cables even if you have a USB modem, then if you get another machine sometime or whatever, you dun need to reinvest your money, you can just get another cable (cheap++) and just plug it in.