An ad hoc network can be used to connect two or more wireless devices without the need for a centralized router. This type of network may be useful when temporarily sharing files or internet connections.
To create a new wireless ad hoc connection, head over to the Networking and Sharing Center and click the link to Set up a new connection.

You will be presented with a screen asking you what type of network to create. Scroll down and select Set up a wireless ad hoc.

You will then be asked to configure your network by providing a name and optional security. Remember than any wireless device in an area of radio visibility will be able to see your network.

After you provide a network name and optional security key, your network will be created and other devices may begin connecting to it.