Yes it is possible.
You will need to get what is known as a cross over cable, or simply an adapter which does the same job.
If you are lucky and your networking card(s) are new enough, you may be able to use a standard cable as some can tell when they are connected direct to another computer and basically configure themselves for crossover mode automatically.
Once connected, simply set up networking / run the wizard / run Homegroup wizard as you would on any normal network and it should be working in no time.
Hope this helps, if it is your first network or you need additional help on settings, either post another question or edit your original one and I (or someone else) will be happy to help!