Going direct with a crossover cable is the same as going through a hub, just without the hub, nothing special to do.
You don't really see crossover cables very often, since most network hubs/switches/routers have an Uplink port for this purpose, but you can still buy them new (or make them).
Just remember things like your router which normally provide DHCP etc wont be available - so set up static IPs etc.
What method were you planning to use to transfer the files? FTP?
Edit: in reply to above, yeah you need a crossover cable by the sounds of it
Edit2: actually if Windows is looking for a DHCP address... try a static IP