If you have connected both your desktop and laptop with an Ethernet cable and did not set up any specific IP addresses, both machines probably use randomly assigned "autoconfiguration" IP addresses, ie. addresses from the range 169.254.x.x. You need to check on both machines what addresses they have.
On Windows machine, type the following in the CMD window:
ipconfig
You may also check the IP address from Windows GUI, but it is quite a lot of clicking in Windows 10 (it was easier in previous releases), it's just faster to do it from command line :). You will see the addresses for both interfaces (Ethernet and wireless).
On Linux machine, login on the text console and type:
ifconfig -a
You will see a lo interface (IP address 127.0.0.1) which you should just ignore - that is a "loopback" connection under which the machine is able to access itself - and another interface corresponding to your Ethernet adapter.
If both machines show IP addresses from the range 169.254.x.x, you are ready to connect (assuming the ssh server is running on your desktop - it should be active on Ubuntu Server by default, I guess). Note the IP address of your desktop and use it with a Windows ssh client. Windows 10 does include a ssh client in the OS (at last; with previous releases of Windows, you had to download a third-party client), so it should be enough to just type ssh [email protected] (where user is your username in Ubuntu and 169.254.a.b is the IP address of your Ubuntu machine) in CMD window to connect.
