help me setup a network.

Any type of ethernet cable should be fine.
If it says not connected its probably your cable.

Anyway to share your internet just go to, Start, Control Panel, Switch to classic view, network connection, select the connection to the internet, right click, properties, advanced, and check the "allow other users to conenct through this computers internet connection.
Jack in your ethernet cables, give it a couple of minutes and you should be sorted.