http://www.kime.net/directcc/index.html shows us how, replete with pictures. I quote:

"The pages listed below outline the procedure for connecting various Windows platforms using an inexpensive cable. No network boards are required as the data is transferred using Your serial or parallel port. With the exception of purchasing a cable, all of the procedures use software provided by Microsoft for free. Connected computers may share files and printers in the same way those connected to a local area network do. This form of networking is useful for transferring files from a notebook computer to a desktop, transferring files to a new computer, or sharing a printer."