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Those are great learning sites, snowmonkey! I've bookmarked them for clients in the future, thanks!
As far as the networking part goes, the first problem you'll have is that the machines won't be able to talk to each other if neither of them is set up with addresses! Since you're just linking them physically together, you'll need to make one of them a server for addressing, or give them both "static" addresses. If you don't know anything about IP addressing, the easiest way to do this would be to make your Windows machine the DHCP server by turning on Internet Connection Sharing (START >> Control Panel >> Network Connections >> Local Area Connection [right click on this and select Properties >> Advanced >> "Allow other network users to connect through this computer's Internet conenction"]) and set the Windows "server" to have an internal address of 192.168.1.1 or something. Then, reboot the Mac (or restart the network service if you're savvy), making sure to set your ethernet connection on the Mac to accept DHCP addresses (my Mac's not handy right now, sorry I can't detail it for you). Now the two can "ping" each other because the Windows machine is giving an address, via a broadcast signal, to the Mac. So the Mac will get an address of something like 192.168.1.100 automatically. Once that's all done, follow the steps in the links from snowmonkey above and you're golden.
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