Likely though I've never done it myself:
http://windows.microsoft.com/en-ca/windows/connect-two-computers-crossover-cable#1TC=windows-7
Depending on what you're doing it might make more sense just to use your local network (setup folder as SHARED over local network) or just use a spare USB drive to transfer data.
I guess by "no internet connection" you meant no local network? By network I meant through a Gateway or standalone router as you don't need the "internet" at all just a local network.