So the link that caperjack provided refers to an article that is a bit dated. However, the process is relatively the same.
In Windows 2000 and later systems, the three required components that need to be bound to your network interface card are there by default (Client for Microsoft Networks, TCP/IP Protocol, and File and Printer Sharing Services).
When you connect the two computers together via a cross-over cable, you do not have to configure the computers with static IP addresses, since these computers will automatically configure themselves with APIPA (169.254.x.x) addresses..
However, to better control the IP addressing, you could assign each one of them with a static IP address. You can use any IP, preferrably in a private IP range. Just use the following configuration...
No default gateway or DNS settings are required since you have neither on this peer network.
You will also need to ensure that any local firewall app running on each of these computers is either turned off, or has the necessary exemptions in place to allow file sharing services to pass the local firewalls.
Go ahead and share out the resources on each computer. Right click a folder, and follow the process sharing the folder.