Step 1: Connect Directly

If you plug your DSL or cable modem directly into your Mac, you set everything up in Mac OS X's System Preferences. Select System Preferences from the Apple menu, and click Sharing; in the Services pane, decide how you'd like to access your Mac (straight Mac- or Windows-based Personal File Sharing, more-secure Remote Login, FTP Access, and so on). Highlight a service in the Service list, and click the Start button to enable the service. Next, click the Firewall tab, click the Start button to lock everything down, and then check the appropriate boxes to enable the specific services you turned on.

If you don't use a router, all of the magic happens in System Preferences.