I'm not connecting through a router, just a direct ethernet cable, all rather clumsy to be honest.
Not that it should matter because you said you already managed to get it working one-way, but is it a crossover ethernet cable ? (or are both network cards gigabit, in which case crossover is not needed)
Error -36 on Macs seems to be an all-encompassing code that Apple use and is connected with permissions from a quick search. That would make some sense in my case.
This got me thinking.
What's showing up in OS X Console (Applications -> Utilities -> Console) under "All Messages" ..... and similarly in Windows Eventviewer (start/run -> eventvwr).
There might (fingers crossed) be some useful messages coming up at or around the time when you try to make your connection attempts (don't forget to refresh/reload !)