In a peer-to-peer networking configuration, there is no "server" -- computers simply connect together in a workgroup to share files, peripherals (including printers), and Internet access. This is most commonly found in home configurations, and is only practical for workgroups of a dozen or less computers.

To begin, you need to decide whether you will purchase 10BaseT or 100BaseT networking equipment. The assumption being that you're not using 10Base-2, coaxial. If you are, you don't need to worry about the next few things, but you need to buy a terminator for each end of the connection.
10BaseT is cheaper and fast enough for a home network/gaming, while 100BaseT is much more expensive, but significantly faster. If you want top-notch performance, have some extra money sitting around, and have more than 8 or 10 computers, 100BaseT may be a worthwhile option for you to consider. If you want to have the option to upgrade to 100BaseT later, you may want to buy 10/100 (BaseT) combo network cards, and a 10BaseT hub, so in the future you can simply buy a faster hub if you want to upgrade. This also means you don't have to reconfigure all of the computers with new network cards -- a big timesaver!

If you're using twisted pair cabling, you'll need to purchase a hub. If you are planning to upgrade your network later, you should purchase a hub with enough ports to handle your future expansion needs. Otherwise, you can just purchase a hub with enough ports to handle the number of computers you currently have. Even if you do need to upgrade later, most hubs have Uplink ports that will allow you to link hubs together and add more ports to your network. If you're only networking two computers together, you can simply go to your local network supply store and pick up a crossover cable.

You will also need to purchase a 10BaseT, 10Base-2, 100BaseT or 10/100BaseT card for every computer you wish to network. You can often find a 10BaseT/10Base-2 combo card, with both adapters on it. For laptops, you need to purchase PCMCIA cards, which are available in similar configurations.
Follow the instructions to install the card in your computer (these will vary depending on the manufacturer), then go to the Control Panel, and open the Network Control.