Are the 2 NIC's really in the same system? If so, there is no need to physically connect them. The PC will communicate on both interfaces, but the NIC itself does not communicate with anything.
why you want to use two nice on same computer and connect with each other? if you are doing for test purpose you can also use MS LOOP BACK adapter. it doesn't need to connect physically. you can add this adapter as many as you want and configure it.
My main computer (a Dell desktop running XP w/sp2) has 2 NIC's: a 'Belkin Wireless G Desktop Card' that connects to the Internet via a 'D-Link WBR-1310 Router'/Cable modem, and a 3Com 3C918 wired to the other 2 computers (an IBM Thinkpad laptop and a SMAC personal file server, both running XP w/sp2) via a 'Cisco 5-Port Workgroup Switch'.
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2 NIC communicate
Thanks