If you're connecting them together with an ethernet cable and no hub / switch in between, you'll need to make sure it's a crossover cable.
Both will need to have an IP address on the same range, although if they're configured dynamically they should just pick up an APIPA and work.
You'll need to make sure the firewalls on both machines allow file and printer sharing
Then in simpleton terms you need to either:
a) Set up a share on one machine and copy stuff to it / from it from the other.
b) Use the Files and settings transfer wizard / Transfer my files wizard.