it depends on why you want the connection (I'm surprised that any pc built in the last 3 or more years doesn't!!!).
http://www.ust.hk/itsc/classroom/notebook/phot o/notebook_network_port.jpg
if it's for connecting to internet ... usb 1.1 (11Gb/s) or 2 (480Gb/s) are both fast enough (unless you have one of those new fangled 24Gb/s jobbies) ... but I don't like usb ... they are more expensive than a "propper" card (note which port you use as well - always use the same one)
also windows doesn't need "fancy" drivers ... so the processor load will be (slightly) less.
if you don't have ethernet ... is it a 98 machine? ... if so be careful that either device has drivers for - and works with your O/s
if you intend to transfer files between machines ... usb is far slower than a straight ethernet connection (again partly due to the drivers).
all that said ... if you're not happy about opening the box (or are we are talking about a laptop? ) usb is the safer option