Both network connections work completely independently of each another (meaning that any settings you have for one connection won't apply for the other, and neither connection can "see" the other - however, since they are different networks, they must be given different IP address ranges) - so I suspect you just haven't configured the local connection to use whichever services you need (eg file & print sharing)

Are you able to "ping" the other computer across the local connection from the windows console? if so, the network is working fine. If you've not set up static IP addresses for either of the machines, you can find out their IP address by typing ipconfig in the console window.

By default, windows usually installs the file & print sharing service, but not the NetBIOS service, which File & print Sharing requires to communicate over the network.

In windows network properties, have a look for the configuration of your Local network (Leave alone the configuration for your cable/DSL, since that's obviously working properly!) - and find the properties for the TCP/IP protocol in the Local network.

Inside TCP/IP settings, find the 'Advanced' settings. Then go to the WINS tab, and change the radio button for NetBIOS to 'enable NetBIOS over TCP/IP'

Provided that your network is functional, and you don't have conflicting IP ranges between the two connections, This should allow all the normal windows file & print sharing services to work properly over the local connection.