Are you trying to copy files between them? What do you mean by connect?
If you are trying to connect both to the internet what you would do is:
1. Plug your internet connection into your wireless router.
2. Connect both PCs to the router.
Does this help? At that point they would both have IP addressess on your internal LAN (probably 192.168.1.x). This would allow you to connect between the machines and do things like copy files or print to connected devices, etc.
Here is a decent explanation:http://www.microsoft.com/athome/organization/wirelesssetup.aspx