You can also use a ethernet cable if both Desktop and Laptop have Ethernet cards.
I use this simple method to connect my Dell to my Desktop:

- all you gotta do is make them both members of the same home network (run Ctrl Panel->Network Connections->Set up a small home or office Connection on each machine);

- make your eth0 connections a client for MS networks & File / Printer sharing (Network Conn.->right click eth0 card connection->check respective boxes);

- set the appropriate permissions of the folders/files you want to share;

- create a Network Bridge (Network Conn->select the eth0 connection + any other NON-internet connection and rigth click them -> click Bridge Connections) on both computers, restart and your done.

The shares should appear on your Shared Documents folder on My Computer, or you can just enter the computer via Network Places->View Workgroup Computers.

If when connectiong to your machine it asks you for a user/password, enter your login details correspondant to the machine you are trying to connect to.

This works for me, hope it helps.