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.