Traditionally you need a crossover version of the ethernet cable or go via a router or switch -- some computers now have autosensing ethernet ports so may be worth experimenting with a straight-through cable.
In addition you need to turn off firewalls in the machines until you get a connection established. Enable file sharing in relevant folders. Make an accurate note of the computers' names (Control Panel, System, Computer Name). Go to My Network Places and click Add New Network Place.
And be patient -- Win Networking is sometimes slow and recalcitrant to set up.