If you are trying to transfer data between two workstations, and want to avoid wider contact with your internal network, the Direct Cable Connection networking option works well to connect two Windows PCs if they don’t have a network interface card. The odds are your machine already has a NIC and you can use a crossover cable. See this article for details about network cables and crossover cables. If your machine doesn’t have a NIC, then using a serial or parallel port might help. Here is a useful article on connecting PCs together via the serial and parallel port:

Direct-Cable Connection Introduction