I used to have a dog in this fight, having been VP of a software company that made software for connecting PCs to Mac networks, but I’m better now.
What you need depends on what hardware you have and what you’re trying to do. Assuming both machines have network adapters, the physical connection can be made with a crossover cable, or two regular cables and a cheap (~$40) hub, as mentioned elsewhere.
For networkable games, you’ll need to make sure that the game is available on both platforms, and find out how it communicates. Anything that is available on both the Mac and PC is likely to use straight TCP/IP, which means that DougLips’ instructions will probably work, with the caveat that you may not be able to connect to the Internet via a modem connection unless you take special care (it’s possible to have parallel network connections and configurations under Win98 and NT, while on the Mac you’re probably going to have to switch back and forth between two configurations).
For simple file transfers, FTP is the easy and free way to go; MacOS 8.5 and higher include an FTP server, and there are numerous freeware and shareware FTP servers for both platforms.
If you want to be able to directly open, edit, and save documents between machines, or share printers between them, you’ll need third-party commercial software. There are two possible approaches, equally valid in this case: teach the PC to use AppleTalk, or teach the Mac to use SMB (the resource sharing protocol in Windows Networking). There are two options for the first approach, PC MacLAN from Miramar Systems and TSSTalk from Thursby Software Systems. TSSTalk is simpler, offers better printing support under Win95/98, and is cheaper (~$129) – and it’s the product I managed for years (under another name, with a different company). PC MacLAN offers more features, is more fragile, and is more expensive. It used to be the case that TSSTalk could be evaluated in a fully functional version for ten days from the time it was installed – don’t know if Thursby have changed anything in that regard. PC MacLAN used to be available for evaluation only in a severely crippled version that offered only certain functions, popped up nag screens every few minutes, and stopped working within a certain amount of time after each reboot – again, Miramar may have changed that.
There’s only one product that goes the other way (teaching the Mac to use SMB): DAVE, also from Thursby. I believe there’s an evaluation version of it available as well.
A great general source of information on cross-platform networking is John Rizzo’s MacWindows site. John used to write on cross-platform issues for MacWEEK, and his site has become the default location for both users and vendors to share information about such things.
Let me know if you have other questions.