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Actually Anthony is slightly wrong you can share a wireless internet connection via LAN to a desktop, all you have to do is run an ethernet cable between the desktop and laptop, and select both your wireless adapter and ethernet adapter in windows on the laptop, right click, then click bridge connections and voila, your laptop acts as a single wired port router.

You can connect them directly to each other with an LAN cable to share files but if you want an Internet connection you are going to need a router and have both computers connected to it and them you would have to enable sharing on both computers

Or use glue, it connects anything!!!

I just tried what revolution1111 said and it didnt work. i have win7 on laptop and slackware linux on desktop. Do they both have to be windows for that to work or what?

you need what is called a ethernet cross over cable to do this, a normal ethernet cable does not work for this