In theory Windows APIPA (Automatic Private IP addressing) should kick in and self configure each adapter with an IP address in the 169.254.x.y range. However, you're not doing yourself any justice by using Windows XP's networking "wizard".
Do this.
1.) On both PC's. Double click My Computer. Go to the Tools Menu, and select Folder Options.
2.) Click the View tab. Scroll right down to the bottom and remove the tick next to 'Use Simple File Sharing....'
3.) Reboot both machines:
4.) When they come back up. Go to Start>Run and type "cmd" (without the quotes obviously). Then click OK or press ENTER.
5.) In the console window that appears type "ipconfig" and press ENTER.
6.) Note down each computer's IP address.
7.) Leave the Console windows open and then type "ping <the other computers IP address>", example:
ping 169.254.1.1 [and press ENTER]
8.) If you receive a reply that means network connectivity has been established.
9.) Next step, double click My Network Places and then on the left click 'View Workgroup Computers'.
10.) Locate the other computer and attempt to open a share on that PC.
Hope this helps. If not let us know and I'll tell you how to set IP addresses manually and troubleshoot further.