You can connect between the two computers wirelessly in two different ways. One way would also let you share a broadband Internet connection.
The simple way, which will only let you share files (and printers, I think) is to set both wireless systems to "ad hoc" mode. This is specifically what ad hoc is designed for-simple peer networking. Easy, cheap, fairly simple to configure. In addition to changing the mode on both to ad hoc, you'll need to put them both on the same channel, and use the same security configuration for them as well.
The more complex way, which will allow you to share a broadband connection from the Mac to the PC is to install and configure Software Base Station on the Mac. It is pretty straightforward to set up, but it can take a while to get everything configured and running smoothly. Depending on your PC's operating system, you can probably do the same thing in the other direction with Internet Connection Sharing, designating the wireless adapter as the sharing adapter.
I believe that it's better to have a router (or in your case a wireless router) because it takes the Internet sharing burden off your computers, and makes it unnecessary to have the Mac on if you only want to surf with the PC (or vice versa depending on which you have doing the sharing).