Networking two computers, make me smart.

[jumpy]

Yup, cat5(e) crossover cable is the way to go... cheap and relatively straight forward to set up for filesharing and ICS.
Just a note on firewalls, however; some of the 'free' versions (zonealarm and a few others) will not accept/allow Internet Connection Sharing using one computer as the 'gateway'. The gateway machine must have a firewall which is capable of ICS, otherwise all you will be able to do is get the computers to talk to eachother, but only the gateway will have access to the net.
In truth it took me longer to configure my firewall to allow both machines access to the internet than it did to set up all the network addresses etc.
One other thing you might find useful is using the window$ command prompt window (start>all programs>accessories>command prompt) to find the IP, subnet mask and default gateway addresses. Type IPCONFIG and this should return a list of the right numbers for you to make a note of if you have to set up your network settings manually and configure firewall access (the network setup wizard is ok, but I have found that sometimes it's not always perfect).
Here's a useful link to networking and other stuff.