Hi Ander,
A switch or a hub should work. If you want to connect it directly to using an Ethernet cable, you will have to use a crossover ethernet cable (unless your PC has the capability to automatically detect the connection and switch to crossover mode, which is rare for PCs).
In order to be able to see the CompactRIO controller in MAX, you need to have NI-RIO installed on your PC. To find out if NI-RIO is installed on your PC, expand the Software category in the MAX tree and look for these two entries: CompactRIO Module Software and NI-RIO.
If NI-RIO is already installed, then I would suggest to reset the IP of the controller and/or reboot it in safe mode. You do this through the dip switches on the controller; I would suggest you refer to the cRIO-9004 manual for this.
JMota