Yes, it's supposed to do that...You can bridge them together in Network connections.
In theory.
In any case it's really a bad idea to have a PC plugged straight into a cable modem without a firewall router. Go buy a router and hook both computers up to that.
Maybe I am paranoid, but I remember being at work in 2002 and watching the computers all go down one after another when the Nasser worm (or whatever it was) crashed them. Luckily the badly written worm crashed them and none were compromised. The office didn't have a firewall, just a bridge I think.