I don't know about the PC, bit I do it all the time with my iMac and Macbook. I enable personal web sharing and internet sharing on the iMac, ( it's connected to the modem), then turn on Airport using the Internet Connect app, and create a network. Then turn airport on on the macbook and wait for it to find the network I just created. Simple. I understand you can do the same thing with a firewire connection instead of Airport, but I've never tried it.
I would assume you could do the same with a PC if it has wireless or firewire capabilties, but I wouldn't know where to start to tell you how to enable internet and personal web sharing in Windows.