The easiest way is to setup a network to connect them both to. The standard way to setup a network is to use a router, most networks can easily be setup, once you get a router you will need to configure it so it will function as you want it to, then you will need to connect both computers through the router. This should allow you to share files between the computers as well as share your internet connection.
Another way to do this works if you have Windows XP or I think Windows 2000 lets you do this too, but that is to share your connection that is going into your main computer. To do this you will need it to have two different network cards, one is your existing one that you use to connect it to your DSL connection, and you will need a second one to connect to the other computer, in this case your laptop. In your Network Connections option in the control panel if you right click the connections one of the options is “Bridge Connection” by clicking this you are able to have the connections shared which should allow the laptop to access the internet connection through your desktop.