Here's my painful steps to get this thing working (on two Win98 SE machines):
1. Installed utility/drivers.
2. Plugged in the devices into the USB ports.
3. Went through the setup (specified host/client, password, workgroup, etc...)
4. After both computers saw each other, I went into Network settings, specified the IP Addresses (10.0.0.1 for host, 10.0.0.2 for client), added File/Printer sharing, IPX/SPX Protocol and NetBeui protocol. Rebooted.
5. Installed AnalogX Proxy on both machines for internet connection sharing.
6. Installed SocksCap32 (get Outlook Express to work with the Proxy).
This after many reboots, experimentations....