Once you have the two computers connected you need to do the following :-
Disconnect from the internet.
On the desktop computer, right click on the directory (which can be a drive root) you want to transfer files from, select Sharing, select Share this folder, click OK.
On the laptop, open Windows Explorer and select Tools | Map Network Drive, then locate you the share you created on the desktop machine, and click OK.
You should now see a new drive on your laptop and you can begin to transfer files.

When finished transfering on the laptop right click on the network drive and select Disconnect.
On the Desktop, right click on the shared directory, select Sharing, select Do not share and click OK.

Make sure you have disabled all shares before reconnecting to the internet.

Quick checks to make if nothing shows up are

1. Do both network cards have their connection lights on ?
2. Try pinging one machine from the other:
   Open a Command window and type

ping OtherMachineName

If you have a virus checker / software firewall installed you may need to change tweak settings so that it allows this type of connection (and only for the network card you use to connect to the laptop).