There are many ways to this, but since you posted on the Network Forum, I assume that you want to Network your Desktop, and Laptop.
You have to install a Network Card (NIC) in your Desktop. If you want to connect only two computers you can buy Crossover Cat5 cable, and connect the NIC of the Desktop to the Network card of the Laptop.
If you want to think about the future, you can buy a Hub/Switch, and have a "Real" Network. From a point of view of software configuration, it is the same for either.
If your laptop has a special configuration for your work place, and you want to maintain it, you need to get a special program (NetSwitcher) to be able to configure the Laptop for two Network Setting.
NetSwitcher - the Ultimate Windows Network Setup Utility
Instruction for network configuration:
FS Guide to Windows Networking
If you are comfortable with computers, and willing to read a little, it is pretty simple.