Here’s your step-by-step for direct connection via Ethernet crossover cable:
1. Make sure the network ports on both PCs are enabled in pre-Vista PCs. To do this, click Start, then Settings, and then Network and Dial Up Connections. Look for a line labeled “Local Area Connection" and be sure that it’s marked as “Enabled."
2. Make sure the cable in your hand is indeed a crossover cable, and connect it between the two Ethernet ports.
3. Power up or reboot both PCs.
Once both PCs are past bootup, give them a few minutes to self-assign an IP address with APIPA and locate one another.
4. For XP PCs, in Windows Explorer, expand My Network Places and click on Computers Near Me. Look and see if the name of the opposite PC is displayed. For Vista, open Network. If you don't see the new PC, click Network and Sharing Center and enable "discovery".