Info about LAN connection to play FARCRY?

hey can any1 give me info about LAN connection?? i want to create a LAN connection but don't know for what is it used? I saw it on 1 PLAY STATION. There they have created a LAN connection to play FARCRY.. i also want to create a LAN connection like them with my friend to play multiplayer.. There's also an option to connect through INTERNET in d game but im nt able to make it...plz help me guyzz..!!