This set of pages explain in depth what to do, cable wiring and XP configuration. This may be a little bit overkilling, since you probably just need to the confirmation it is possible to crosslink.
Note that Ethernet sockets are protected against bad wiring, and trying a solution cannot be harmful.
Also note that network cards may handle crossover thru software, with a normal cable (auto MDIX): http://en.wikipedia.org/wiki/Medium_dependent_interface#Auto-MDIX
A comment that may be not appropriate to your case: Ethernet LAN usually run at 100 Mb/s, at best 1Gb/s (depending on your LAN adapters, and also your router / switch). If this is to copy data from one computer to another, sometime it is best to use other links (USB, eSATA), or even to use an external intermediate storage.