Yes, you can join both PCs with a network cable and copy the file.
To do this you must set up the network, and your file shares.
Plug each end of the crossover cable into a network port on the back of each computer.
Open Network and Sharing Center (Start, Control Panel, clicking Network and Internet, Network and Sharing Center)
In the network map at the top of Network and Sharing Center, double-click the Unidentified network icon.
- In Network, click the Information bar containing the following message:
Network discovery and file sharing are turned off.
Network computers and devices are not visible. Click to change...
and then click Turn on network discovery and file sharing.
Do this on both computers. With any luck, this is all the network set up you will need to do.
On the PC with the file, do Properties/Sharing/Share as you mentioned in a comment.
As r0ca says, the PC that wants the file can then connect with