Yes a wireless router would allow you to accomplish that....even though it will not have a WAN (internet) connection, the wireless router will still manage the IP scheme of any computers connected to it..so they'll technically be on the same network. I'd do what's called a DHCP reservation to at least your host PC...so that it gets the same IP address all the time and you can call up that IP address. Ensure remote desktop is allowed through the Windows firewall of the host.
Assuming your host PC will have a version of Windows that has built in remote desktop host (like..Windows XP Pro, or Windows 7 Pro)...(not "home" version)
If not...can try something 3rd party (and free) like UltraVNC.