yes if one of your interfaces is gig, then it should auto cross.
With just a cable between your machines, its unlikely you have dhcp server to give the interfaces IP.. So they would most likely just use APIPA.. Which means if the interfaces are set for dhcp and no dhcp server answers they will just give themselves a random IP.
So something starting with 169.254.x.x
Look on both machines do they get these addresses? Can you ping the other machines 169.254 address?
Why type of network did you tell windows this connection was, home/work/public ? Did you enable file sharing? How are you trying to access the file shares on the other machine? If you setup for public on the connection, the firewall would block any access. Would not be discoverable and would not announce itself to any browse list, etc.
yes its pretty much plug and play, but you have to have a basic understanding of what your doing
Plug in your machines - set the connection as HOME.. And enable file sharing.. Now can you ping the other machine by IP, can you ping by name?
what do you get if you do net view \\computername or \\ipaddress on one machine?