Putting my half-bit of information:
W2k doesn't install by default all the networking software and services. After OS installation, you have to go to Add/Suppress Programs > Windows Installation, and from there choose to add what W2k considers as options, like a few protocols and services which are needed for Ethernet networks. You may choose to add anything related with networks for instance.
Also, in case you're accustomed to Xp, networking options and wizards aren't accessed through the same icons and clicks in W2k.
It definitely works somehow, I know two computers connected as you describe. But the Internet Provider's installation CD did all necessary settings.
Hope someone more knowledgeable will pass by. I jumped in because your question is unanswered for 6 days.