Ah jeez. I just read 68RR383's post after typing everything below - I repeated everything said there.. :doh:
Any DSL router with multiple Ethernet ports will do the job.
It should act just like a switch for all of the connected devices as well as act as a gateway to the Internet.
Alternatively, a switch will do the job - but no Internet access unless you plug the DSL router into the switch.
You can also plug an Ethernet cable from PC to PC, but it needs to be a crossover cable. Unless you have one handy, don't bother with this method.
Once you have everything physically hooked up, you can run a few tests to see if things are functioning.
Open up a DOS prompt (Start>Run>cmd the click okay or run or hit enter...)
at the DOS prompt, type in ipconfig and hit enter.
You'll get some stuff on the screen, but you're looking for your NIC's IP address. It is likely something like 192.168.1.2 or 10.0.0.2 or anything like that. What it is isn't really important as long as it starts with 192, 10, or 172.
If it's anything else, you are likely getting your IP address from your ISP and that means that the router isn't doing it's job.
If you get an address in the right range, make a note of it - for both PCs.
AT the DOS prompt, see if you can ping the router.
If your PC's IP address is 192.168.1.2, then the router's address is likely 192.168.1.1. It's that last number that should be different on each device.
The first three numbers need to be the same.
Then at the DOS prompt of one PC do a ping test to the other.
From the PC with address 192.168.1.2 type:
ping 192.168.1.3
The IP address you punch in should be the address of the other PC.
If you don't get a "Reply from 192.168.1.3: bytes...blah blah" there's something wrong.
Start with the PCs themselves.
Do a ping test to the local IP address
ping localhost
ping 192.168.1.2 <---That's the PC's OWN address not the other PC
Do the same test on the other PC
If you get replies then all is good with the IP stack running on the PCs.
If anything fails, double check that cables. Make sure you have link lights on the NICs and router ports.
If that looks good, check that you don't have any personal firewalls running on the PCs. If you do, unplug the router's link to the Internet and then turn off the personal firewall software and then retest. If it works, then you need to fart around with your firewall software to open up the right port numbers to let your PCs talk to each other. Refer to your personal firewall docs and your game docs to sort that out. Games will use specific port numbers to communicate.