Can I setup a wireless network without a wireless router or an Access Point ?

You can setup a WLAN by simply adding a wireless network card to each computer that you want networked, set all to "Ad Hoc" mode, same SSID and channel number.

Note that if you'd like to also share an Internet connection, it might be easier to use a wireless router or a Wireless Access Point connected to an existing router, rather than having to setup routing software (such as MS Internet Connection Sharing) on a server computer.