I don't have 2 of these to test, but you will most likely need a cross over cable as opposed to a standard straight cable. Otherwise you will need to use a switch or a hub between them
For the cost of a hub ($15) and the need to keep them "online" anyway, I wouldn't even go there. You can't copy between them and the speed between the 2 is not typically limited by even a 10mbs network so therefore it won't be any faster.
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