The simplest way is to buy a connecting network cable (called a crossover cable), assuming that your Broadband modem plugs into a USB port. Then use thw Network Wizard on both computers to make a network between the two.
If your Broadband modem uses the network port on your main computer, you can buy two wireless adapters, either both USB, or one USB (for your laptop) and a PCI one for your desktop.
Then use the Network Wizard to set up a wireless network.
The wireless option is probably a better one since you will be able to use the laptop away from the desktop.
Third option - get a broadband router, which has a wireless option and connect both of them to that.