If I understand you, the two Macs are connected to the router (and thus to the internet) via Wifi, but for this copying you want to connect them directly using an ethernet cable. (I assume his Macs are reasonably recent and so don't require a crossover cable.)
In System Preferences>Network you will see a list of possible connections; where there is more than one the Mac concerned will choose the top one unless it isn't available, in which case it will drop to the next one.
You probably have wifi as the top one: if ethernet isn't there you need to add it and then drag it to the top of the list (on both Macs), then when you plug the lead in the Macs should be able to see each other using the normal File Sharing method and connect that way.
An alternative would be to create a new location, so that you have two locations, one wifi only and one ethernet only: then you could switch to the cable (turning the connection to the router off altogether). Again you would do this on both Macs.
This page has more details and may help:
http://www.applelinks.com/index.php/more/handson_mac_connecting_two_macs_via_a_simple_ethernetnetwork/