There are two ways I know of to create a network without a router/switch. They are both types of network bridges.
One is a ethernet bridge. You need an ethernet port on the desktop and laptop, and you need to connect the two together. You also need a secondary connection on one or the other so that you can access the modem. Considering how you only have a modem, this is probably not your best option unless you have two ethernet connections on the desktop. You could also use this method using the desktop connected to the modem via ethernet and the desktop broadcasting to the laptop via wireless but connectify makes that same process easier.
The other option is using a program called Connectify. It allows you to share an internet connection (wired or wireless) through your wireless card even if you're using that wireless card to connect to the internet. This method requires one computer to be connected to an internet source and both computers to have wireless cards. The computer connected to the modem broadcasts the signal using it's wireless card.
In order to instruct you properly I need to know what types of connections you have available on each computer and how you connect to your modem. If you're using ethernet to connect to the modem and have a wireless card in both the desktop and laptop then it should be fairly easy. All you need to do is use the ethernet on the desktop to connect to the modem and then use the desktop's wireless to broadcast that signal to the laptop. This can be done either through a traditional wireless ad-hoc network or using connectify.
How to create an ad-hoc network
-- Connect to modem using Ethernet
-- Network computers using Wireless on both sides
-- Needs Ethernet and Wireless on Source Computer
-- Bridge connection must be wireless
Connectify
-- Connect to modem using Ethernet or Wireless
-- Network computers using Wireless on both sides
-- Only needs one connection on each computer if using wireless.
Create a Network Bridge
-- Connect to modem using ethernet/wireless
-- Network computers using Ethernet on both sides
-- Needs two separate connections on source computer
-- Bridge connection must be ethernet
