If you don't have a router or firewall, then you just start up the game and select h2h host.
That's it. Well, there's more to it than that because you need to know how to set up AH to have a host that people actually want to visit, but that's all in the help files, arena settings, and h2h hosting readme.
If you have a firewall such as zonealarm or windows firewall, then you need to make sure that the firewall recognizes the game as being authorized to open network connections. Normally this happens automatically but since I don't use a software firewall, I don't know or care exactly how to do it. If you can't figure it out, disable the firewall while hosting and hope nobody hacks your system while you're unprotected.
Since you don't seem to have a firewall or router, just start the game and click the buttons necessary to host a H2H game. That's as tough as it gets, whether you use DSL, cable modem, or a regular phone line modem.
There is a hosting readme or help file, and I strongly suggest reading it.
If that still doesn't work, then google is your friend, because if you do not have a router or firewall and AH h2h host won't work, then you have a problem somewhere and need to educate yourself on home networking basics including basic tcp-ip stuff including how to customize your home network's tcp-ip settings.
I also strongly suggest hitting google and searching for home network setup. There are a dozen or more great articles out on the intarweb that explain in various levels of detail how to set up a network at home, including custom tcp-ip, firewall, and router settings. But it sounds like you don't even need that right now.
