Yes, it looks just like an ethernet cable except that upon close examination you will notice the small wires that are made up in the connector are swapped from one end to the other. Thats why they call it a cross over cable, you can find them at radioshack or any electronics store almost. They will work exactly like a system link cable for xbox, but are probably cheaper. You'll need one to connect directly to your xbox, if not going through a hub or a router.
