In order to physically connect three or more computers, you should use crossover Ethernet cable. You must be able to plug the Ethernet cables into a device that will allow signals to be transmitted to one another. There are several devices that will allow you to do this: a hub, a switch, or a router.
What is a Hub?
A hub is simply a device that repeats the signals it receives. It does not "know" which computers are connected to it, and it does not do any network processing based on the source or destination computer. Hubs are primarily used as inexpensive devices that allow you to add more computers to your network.
However, as you increase the number of computers, you also increase unnecessary network traffic. Using a hub to connect a network is not very secure, as any computer in a cluster can be configured to "listen" to messages being broadcast. A hub will not automatically allow you to share an Internet connection, though it may be possible if you run Internet Connection Sharing software on the computer with the high-speed connection. It is preferable to connect your network with a switch instead of a hub, especially since switches have become very affordable.
What is a Switch?