The connection has two needs, hardware and software.
Hardware: If both computers have ethernet NICs you can use a simple ethernet crossover cable to connect the two.
Software: You may not need any, depending on what you want to do. You can share files on the Mac by using the builtin Web Sharing control panel. It will share any folder using TCP/IP. Then you can just log into the Mac by opening a web browser on the PC and typing in the IP address.
If you want to share files both ways,you may want to check out programs like DAVE or PC Maclan. There is also a program called Sharity that is an SMB client for Mac OS X.
See http://www.macwindows.com/ for much more information. You may want to post there instead. (But give me the points anyway:)