Get a wireless router. They're cheap and will solve all your problems.
They're may be ways to connect the two machines, but that would require the iMac have a second network adapter and then using it as a gateway for the laptop. Or perhaps moving the modem to the laptop (since it probably has two network connections, wired and wireless), and making it the gateway on behalf of the iMac using Windows ICS (Internet Connection Services).
http://support.microsoft.com/kb/306126
But it's just not worth it. A wireless router will make your life so much easier. You can use the Internet at any time (either at the same time or not), don’t need to keep either machine running in order to access the Internet, share files, you'll get more security (everyone should use a router because it provides better security, even if you only have one computer), etc.