Connecting 2 computers

I recently bought new laptop and i wanna connect it with my old desktop computer.
Laptop has windows 7 (original) and desktop has windows xp sp2 (cracked, don't preach please it's so common around here you'd be surprised)
I should expect some issues there, right?

Whats the quickest way to connect those 2 computers? Also the laptop should share the internet connection that is on desktop. What program should i use to control bandwidth on both? I have cable connection. If i need to provide any more info on hardware or something please tell me.
Thanks.

If you have a cable internet connection, get a cable router (a Linksys WRT54G or similar for instance) and hook it up to your cable modem. They can be had for under $50. Then your PC and laptop can connect to the internet through it and it can manage the bandwidth. Your PC and laptop will also then be on the same private internal local area network (LAN) and you can enable file sharing on each (or just the PC) to transfer files between them.

There are several ways to connect the two computers. One simple way is to use a USB cable, but I'm not sure atm if that requires a special cable, and it probably requires specific software.
The simplest way is to use a regular LAN/network connection, but if you only use the two computers, without a hub or router, you'll need a special "crossover" network cable which has a couple of the wires switched around.
The next step up from that is to use two normal LAN cables with a hub or switch in between. But, if you want to go that route, and you have a broadband internet connection, it would be better to get a regular router.
If you use any of the LAN options, you would simply need to use the Network Connection Wizard to set up a basic network.

P.s. There is no need to mention the source of your WinXP