Or a cheap Ethernet cable. Windows Shared Folders are more or less crossplatform nowadays.
I used to have a crossover cable which is basically a single ethernet cable where the two connectors are reversed. You eliminate a switch / hub and it is a ridiculously fast way to transfer between two machines.
With most new network equipments, you dont need a crossover cable anymore. A regular cable will work just fine.
And if one or both machines is a recent Mac or has gigabit Ethernet (or otherwise supports auto-MDIX) you don't even need a crossover cable.