Question: My question might sound stupid, but is there any way that i could connect my desktop PC with my laptop without setting up any router-LAN or without any USB/Ext.HDD.

Answer: 
Find yourself a [crossover Ethernet cable](http://en.wikipedia.org/wiki/Ethernet_crossover_cable) (they are usually red or are terminated in red connectors) and you connect the PC's directly to each other.

This will have the same effect as being on the same network/LAN without the need for a router/switch/other intermediate device.
You could use firewire if you have the ports, or you can try something like an HDMI to firewire converter.

Using crossover ethernet cables is probably the easiest way.