You asked "How do I set up a network between the two computers?" using your wifi adapters.
This is done by setting up the ADHOC wifi networking. Remember there is no mention of any wifi router or internet access but only the question above. Here's a link on how to set up the adhoc network.
Remember that I don't duplicate Zyzel's install instructions or write about firewalls since that is also not mentioned by you.
Read these links about adhoc networking.
My husband and I both have laptops with wireless. I got the ZyXel wifi detector. How do I set up a network between the two computers? I know I can do that with this detector/wireless adapter/access point.