Depending on your OS, you can use link aggregation protocols. For Linux, LAGCP will allow you to bind two interfaces to a virtual interface, and route traffic across the virtual interface. In windows versions before 2003, this was known as shotgunning a LAN.
In newer versions of Windows this is known as NIC Teaming. Most motherboard/NIC manufacturers provide NIC teaming drivers as an optional download (ASUS, Intel, Broadcom, and Realtek). Once the NIC teaming driver is installed, it's as simple as linking both LAN connections to the Team profile under network connections.
Bridging, is not what you're looking for, so be wary of the differences in 'Bridge this network adapter' and 'Team this network adapter'.
@erenon I want to connect them so that I gain the added bandwidth. – None – 2010-01-04T17:08:08.763