SirLipe :
If a game has an option to play on LAN does that mean I can directly connect 2 computers with ethernet cables and it will work?
Yes, that's the way!
If no Firewall/anti-virus block the LAN connection between those PCs, it should work without a problem.
You can also set LAN connections without the PCs being connected, just have to use a proper program for so. I've used both Hamachi and Evolve, they worked just fine. Just installed them, created the LAN party and started to play. Simple as that!