es, but because you're connecting two computers directly together you will very likely need a "cross-over ethernet cable."
The cross-over (or "x-over") ethernet cable has a slightly different set of connections internally that normally aren't needed between a computer and a router.
However, the best way is to get a small 5-port (or 8-port because these often cost only a few dollars extra) ethernet switch and connecting one of its ports to your internet router (your "Boxee Box" I presume) with a cross-over cable (with newer ethernet switches you often don't need this as they auto-sense the need for cross-over and will adjust accordingly), then connecting all your computers to that little ethernet switch.
The problem with connection sharing is you become dependent on having that connection sharing machine always being available when you need it, which may not be as convenient (although that solution will work too).