i shud say this post may not actually solve ur prob... but read on...
yes its possible..., what os do you use in lappy n desktop??
but the method can become complicated..., its better if u buy wireless lan card or really big ethernet wire for ur pc... its cheaper n easiest this way...
as for ur method..., in laptop ,while configuring new internet connection , there will be an option which says.., 'allow others computers to connect/ share through this computer' .... something like this (i use win7 so its like this in win7) in your laptop ..., then u must setup both the systems in network i.e lan.
but after all this something might go wrong.., so its better u buy wireless card., or big ethernet wire...,
i tried many times.., but failed. all i can say is its waste of time, and even if u succeed the bandwidth will be halved., n connectivity might not be stable.
better purchase wire., its even better if u move the modem nearer to.. phone wire is lot cheaper.
ps: i hope ur not leeching on somebody elses wifi!!! modem in another room n so desperate to connect pc!! - well it sound fishy o_O

or it might also be a case wer u might want to share with ur fren whos lives in the nxt building ..,
good luck... anyways...
pps: if either of the pcs has vista.., dont even dream of connecting them!!!