If you're only connecting two computers then you could use a crossed-over CAT 5 cable between the two computers, otherwise, if you're connecting more than two computers then you'll need a hub or a switch, which each computer in the network connects to via CAT 5 cable. The network can be connected in a number of different topologies, choose which ever best fits the situation.
p.s. There are other connection mediums besides CAT 5, but CAT 5 is generally the most common and economic.
If you need more help here are two links: