AFAIK windows (XP) doesn't have builtin support for this, but i've heard of programs that can do this (laplink?)
But, you can do this with firewire, I use a 6-pin -> 6-pin FIrewire cable between my machines to transfer files and stuff, on average I get 1.5x~2x performance usign FW instead of ethernet.
And, you'll get better results if you posted in the networking thread.