Direct cable connection is very complicated. It involves only two Control Panel Applets (Network and perhaps Passwords) but has several variables to be dealt with. This is the sketch of how to get it to work based on the assumption that we have two computers not connected to a network:

Use the Network applet to install the Microsoft Networks client, the Microsoft File and Printer Sharing service and the IPX/SPX-compatible protocol on both the host and guest computer.

For the Microsoft Networks client select Quick logon under Properties > Network logon options.

For the IPX/SPX-compatible protocol select Client for Microsoft Networks and File and printer sharing for Microsoft Networks under the Bindings tab.

For Microsoft File and Printer Sharing set Browse Master to Automatic (I'm not sure if this helps). Leave LM Announce set to No.

Under Primary Network Logon in the Network applet Configuration page select Windows Logon.

In the Network applet Identification page use simple computer names (short names with no spaces), and use the same Workgroup name (e.g. "Default") on both the host and guest computers (again, I'm not sure if this helps). When logging in the guest compter you may be prompted for the host computer name.

In the Passwords applet, on the Remote Administration page make sure Enable Remote Administration of this server is selected for both the host and guest computers. Also (this might be overkill) use the same password on both computers.

On the host computer make sure that folders are being shared, not entire disk volumes (I'm not sure if this helps).