You can connect two computers with just coax cable. You just need T-connectors in both PCs and terminators where the cable ends, like
Code:
|--+---------------+--|
| |
PC PC
Another option is to use a crossover cable (RJ45), but neither of these options help if you have only one NIC in both PCs, assuming your DSL connection plugs into 1st PC's NIC already.
In my humble opinion, the easiest way would be getting a small hub and set up a CAT5 network, connecting both PCs and the DSL modem to the hub. But that may cause problems if your ISP allows only one computer to connect directly.
I'm not an expert in networking myself..