Phenom2kx,
You have not provided some vital information while asking your question. So, I can only assume a few things while writing this reply.
There are a multitude of ways to do this and I have been using a few of them depending on the amount of data to be transferred.
While it is possible to transfer the data using an ethernet cord (also called the network cable by some) you have to have a router connected on to your desktop. Contrary to what some people say, a router with an option to connect multiple computers is not normally always present if you have an internet connection. There are routers where only one computer can be connected while there are routers in which you can plug in more than one ethernet cord and so can effectively 'network' all your computers.
If your laptop has a wireless network card, then there is every possibility that you have a wireless router and most of the present routers themselves form a local network and have the facility to connect 4 or 5 computers (one wireless and 4 wired mostly). If you already have a router / wireless access point, you could try using the wireless option if the data to be transferred is about 5-6 GB. If it is more than that, then connecting the ethernet cord and using it as a wired network would make the data transfer relatively faster. If you do not have an interet connection and hence obviously a modem / router but are in the market for one / have decided to go in for an internet connection, then I would advice you to go in for a 802.11 Pre-N (the N standard has already come into vogue but has had several issues and so I would not recommend it) router as opposed to the 802.11 b or g standards since that is an outdated technology and there may be issues if your OS on the desktop is different from that on the laptop. I have a Belkin Pre-N (purchased from the US although I am sitting in some small corner in Asia) which gives me a very decent, commendable performance although die hard belkin haters would swear by other brands. This costed me about $74.00. Whatever be the decision, you may please note that it is not essential to have an internet connection for data to be transferred. If you have a router without an internet connection, you can still put through a local network and transfer data / maintain communication between your computers without any problems.
You can also use bluetooth devices if you already have one and are not willing to spend on other things. Of course you need to have a bluetooth dongle on the PC and your laptop should have bluetooth enabled. In which case, you can go ahead and send data (just that it will be slower than the ethernet cord) but that will take care of your problem without having to spend on anything, if that is what you like.
You can also use a 'crossover cable' to transfer data by connecting your laptop and your desktop 'directly'. But here, ideally the desktop and laptop need to have the same OS since otherwise, it is a bigger problem, particularly if you don't know technical things. For beginners it it is a lengthy process but will cost you around $10-12.
Hope this information is useful!
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