|Typically you connect both computers to a switch with network cables.|
If it's just the two computers and you'll never have any more, you can use a crossover cable to connect directly from one PC to another.
There's a ton of tutorials on the internet to explain how to share and transfer files. Try doing some searches on google. Start with the following search string:
how to share files in windows
It matters not how straight the gate,
How charged with punishments the scroll,
I am the master of my fate;
I am the captain of my soul.