Can I connect my PC to a Macbook Pro with a cable to migrate files

There are various ways to use Migration Assistant, have you checked with http://support.apple.com/kb/HT3231 for the basics?

You can migrate by wireless network, ethernet, FireWire depending on the porting available on the two computers.

No. You either use some sort of manual transport such as an external hard drive or you have to use a network. The latter can be Ethernet or wireless. All Macs can handle Ethernet. If you have a new model with only Thunderbolt ports, then buy the Thunderbolt to Ethernet adaptor.

You can use wireless but it will be very slow. If have a lot to transfer it would probably be faster to copy your stuff to an external USB drive.