Set up a wireless network as per usual.
Scan for it and connect to it.
Click on the wireless network icon (near the clock), click on
Properties.
Select your network in the list shown, click on Advanced.
Then tick this box: Computer-to-computer (ad hoc) networks
only.
All your friends will do the same.
A rough guide, I can't remember the exact steps, I'm not using
Windows...
Pictorial guide