You'll need a crossover cable.

DO NOT USE THE BLUE ROLLOVER CABLE, that's for the console.

Here's some explaination, it's for another type of equipment but the connections are the same.

Connectors and Cable Specifications


Oh and don't forget to issue a no shutdown on the interface you wish to use.

Edit: Moderator, there's something fishy going on with the url posted. I did it several times pasting the correct URL. Somehow there's a %20 somewhere in the middle and a <br%20/> near the end. I didn't put them in.