I've only done this between a Windows and a Linux machine via a regular twisted-pair ethernet cable. What I did was assign a static IP to each (like 126.96.36.199, 188.8.131.52), same subnet and set the gateway to the opposite counterparts (184.108.40.206 gw -> 220.127.116.11, etc). For that you would need to edit the properties of a corresponding device in ncpa.cpl (start -> run) and the interfaces file on OSX. You would need some service to be deployed in order to actually transfer the files. I used the Windows implementation of the SMB protocol (File and Printer Sharing for Microsoft Networks), hence Windows acting as the serving host (thus no need for Client for Microsoft Networks). Then I just mounted the Windows share as CIFS on my client host and that's that.
Oh, yeah, firewall.cpl might need some adjustments. For testing purposes, ping might be desirable as well for connectivity testing between your hosts.