What you are wanting to do is network your two computers. Normally in a network, the computers connect with an Ethernet cable to a hub. However, if you use a cable called a patch cable, you can connect the two computers directly. I would suggest buying a network hub for $10 and doing it the correct way. Once you have everything physically setup, you would also need to enter in the network settings for the two computers.

PDH is correct. You need a crossover cable.

If the Mac is a newer machine running OS X, you can use a crossover Ethernet cable to connect the machines, which will put them in a peer-to-peer network. Make sure the Mac has TCP/IP turned on in the network settings.

Be sure you are using a Crossover cable. A regular cable like you get to connect your machine to a modem or router won’t do the trick. These are Straight-through cables. they look the same, but the wire configuration is different on one end of a crossover.

an ethernet cable connects your computer to the internet when you can’t connect wirelessly. but i guess it could work if you selected multiplayer mode.