Nope, its as simple as just going into TCP/IP and giving both machines a unique IP address. You only need a router if you're connecting the machines to the Internet. Its just a matter of going into TCP/IP control panel on both machines, selecting ethernet, and setting one machine's IP address to 192.168.0.1, and the other to 192.168.0.2, with 255.255.255.0 as the subnet mask for both machines.