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You can set up an ad-hoc network, either wired or wireless. Your new laptop should have an internal wireless card, and you can buy a wireless adapter for your desktop if you don't already have one.
If you go wired, then you'll need to get a crossover cable, which is different from normal network cabling so be sure you get the right thing.
You can find detailed instructions all over the internet on how to set up an ad-hoc network.
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