^^^ Unfortunatly, broadband isn't available everywhere...
ok, yes, to connect the computers, you would have to use Cat 5 cable (recommend Cat 5e), and also, you have to make sure each PC has a NIC card. It looks like a phone jack, but wider, for 8 wires. If you are connecting the PC's DIRECTLY, the cable needs to be a CROSS-OVER cable. I recommend using a Straight through cable, and a cross over adaptor.
As far as the printer goes, if you have it connected to 1 computer, you can SHARE the printer with the other computer, and they will both be able to successfully print to it, without having to move cables, and reconnect this and that.
As far as getting both PC's online, you could do ICS (Internet Connection Sharing) on the PC that has the modem, or you can get a Dialup router like the
Netgear FR328S, however, at $189 BEFORE shipping, it is VERY expensive, as there seems to be little market for a product like that. For info on ICS, there are some threads about it in the Networking & Internet Access forum.