Well we have to take the dial-up connection completely out of this combination. :)
Macs should work fine with Windows as long as there is a ethernet cable uniting them. If you are using a switch both computers have to be connected to that switch with a straight-through ethernet cable.
If besides file and printer sharing you want to share the dial-up connection from the Mac, move the connection on the Windows machine and follow the instructions from this article: http://www.toughadmin.com/article.php?article=Setting .