The problem is that you want to connect 2 devices of the same type. But it's still possible. You can use a Crossover cable for this (Method 1), or you could use a switch or hub to automatic make a crossover connection (Method 2). Or just use a simple router (Method 3).
Make a connection possible
Use a Crossover cable and connect your PC and PI:
An Ethernet crossover cable is a type of Ethernet cable used to connect computing devices together directly. Normal straight through or patch cables were used to connect from a host network interface controller (a computer or similar device) to a network switch, hub or router. A cable with connections that "cross over" was used to connect two devices of the same type: two hosts or two switches to each other. Owing to the inclusion of Auto-MDIX capability.
You need to connect the cables in the UTP cable like this:
You also can use a modern twisted pair Ethernet cable to connect to your PI. But you need a hub or switch for this:
connections can be made with a straight-through cable by means of an MDI-X port, also known as an "internal crossover" or "embedded crossover" connection. Hub and switch ports with such internal crossovers are usually labelled as such, with "uplink" or "X". For example, 3Com usually labels their ports 1X, 2X, and so on. In some cases a button is provided to allow a port to act as either a normal or an uplink port.
Introduced in 1998, this made the distinction between uplink and normal ports and manual selector switches on older hubs and switches obsolete. If one or both of two connected devices has the automatic MDI/MDI-X configuration feature there is no need for crossover cables. Although Auto-MDIX was specified as an optional feature in the 1000BASE-T standard, in practice it is implemented widely on most interfaces. Besides the eventually agreed upon Automatic MDI/MDI-X, this feature may also be referred to by various vendor-specific terms including: Auto uplink and trade, Universal Cable Recognition and Auto Sensing.
Use a Router and connect both the PI and PC to the Router.
Make the connection
Give them both an IP in the same range, for example:
PC: 192.168.1.10 Subnet: 255.255.255.0
PI: 192.168.1.11 Subnet: 255.255.255.0
You can find here how to do this: http://www.cyberciti.biz/faq/linux-configure-a-static-ip-address-tutorial/
Connect to the PI
On Windows use for example Putty.
You also can look here: http://www.linux-usb.org/usbnet/