The hardware solution (Linksys, whatever) can also be a firewall, which you need if you drank Bill Gates' purple KoolAid. They make a model that has a four-port switch built in, so you don't need a separate hub. The price difference vs. a single-port version is neglgible.
Staples would be 'way cheaper than Radio Shack.
Doesn't matter if one box is running Windows and the other is running a real O/S -- all that matters is they all speak "Internet."
Windows Connection Sharing means you have to have that computer running in order to use the other one on the 'Net. If you're the sort who leaves the computers on all the time that's okay, but if you or the other person is in the habit of shutting down the PC when you go to bed, that gets inconvenient real fast.