You need to have what's known as a Crossover cable to connect the two machines if you don't have an Ethernet hub, switch or router.

You won't need to change any adaptor settings, but you'll need to turn on sharing for the directory(s) on one machine and then map it on the other (do this while off the internet).

Once you've transfered the files, remember to turn off sharing before reconnecting to the internet.

I expect you'll have questions so feel free to IM me.