What adapter do I need to connect my HP laptop to the Mac

For viewing slow-to-change data items like lists of files, you can use VNC on the Windows system, and Screen Sharing on the Mac to see the screen from one in a window on the other. it uses your home network to transport the data.

But the data rates and timing required for full motion video make support for Full motion video impossible in either direction.

I would add that you can use Migration Assistant to import the HP's files. You will need to first download and install the PC version of Migration Assistant and installed in the PC. Then read and follow the instructions.

Connecting the two would accomplish nothing since the Mac and Hp have different operating systems and cannot communicate.