Don't connect two PC's with a regular USB cable! This could permanently damage your PC. If you want to connect two PC's over USB then you'll need a special cable. Most of the time these cables are called USB datalink or USB transfer cables. You can recognize them because they have a small "thing" in the middle of the cable that allows to transfer data between two PC's correctly.
If you don't have such a cable you could buy one at a PC parts store, but they are pretty expensive. If both PC's already have a ethernet LAN connection, then connecting them with a crossed cable would be the cheapest and simplest (UTP Crossed cable with RJ45 connectors at both sides).
You can connect them to if they both have modems, perralel port or serial port. But parralel and serial port are kinda old and slow. For every method you should keep in mind that you will have to buy a proper cable if you don't have one yet, and you'll need the good software. However, Windows' own software can deal with the most netwrok methods already.