depends what you want to do, of course.
you dont 'need' to set ip addresses on your machines, after a brief period of connectivity without reaching a dhcp server they will autoconfigure themselves with an ip address. if this is a temporary connection then just let it do its thing. if you are looking at a longer term solution and are a litttle impatient of waiting for it to become available then by all means setup static addresses.
if you want to do file sharing then turn off 'simple file sharing' (which uses the guest account, disabled by default in xp sp2), ensure you have a user account with the same username/password on each box. share the directory you want to make available across the network then either browse in network neigbourhood or in windows explorer just browse to \\[computer name]\[share name]. if you are logged into each machine using the same account it will just work, if you are logged in under different accounts then it will prompt you for a username/password - just enter the details you would use on th other machine and you should be all set.
if you want to do internet connection sharing then that is a little bit more involved (not much, but a little) and there are plenty of guides out there that can help you - save me re-inventing the wheel.
