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.
**Option 1:**

You should be able to run a normal ethernet cable between the two machines. Once upon a time this required a crossover cable, but just about any network card made in the last 10 years has a feature called "[auto mdix](http://en.wikipedia.org/wiki/Medium_dependent_interface#Auto-MDIX)" that will handle this for you. 

Additionally, you will need to manually assign a static IP address to both machines, and may also wish to create corresponding entries in the [hosts files](http://en.wikipedia.org/wiki/Hosts_%28file%29) so they can talk to each other by name, rather than IP.

**Option 2:**

If either machine is running Windows 7 and both machines have wireless network cards, there is a new feature in Windows 7 called a "[Microsoft Virtual Wifi Miniport Adapter](http://msdn.microsoft.com/en-us/library/dd815243%28VS.85%29.aspx)". You can use this feature to set up the windows 7 and a wireless access point host for the other.