Bleep is correct; you need a crossover cable to connect two computers together (PC to PC) in a network without a hub, switch, or router. A standard Cat5 cable will not work.
If you are already using a crossover (Cat5 also) cable, here are some things you can check. I'll assume that you don't have any resource conflicts for those network cards.
1. Is the second PC assigned a private IP address. The first PC's home nic (your private network) has to be assigned the non-routeable IP address 192.168.0.1. You shouldn't have to change anything else. The second PC's NIC can be set to "assign IP address automatically" in the TCP/IP properties for that card. The sharing NIC (as defined by Windows ICS) should be set to whatever your cable provider has indicated (usually automatic assignment of IP address).
So in saying that, can you ping your 2nd PC from your first, and vice versa? This will confirm that packets can be sent and received between the computers.
2. Make sure connection sharing is enabled on the first PC by clicking on the appropriate option in Internet Explorer's (don't know about Netscape) option dialog box. I forget the exact phrasing as I set ICS for two different networks before, but I don't have it on my own system.
Well, that's it for now. Let us know if you're able to solve the problem.
Regards,
Al
Edit: Well, looks like I was typing too slow, as there already are some suggestions.