If you're asking this question - you're probably not the kinda guy to go poking around inside your system - and that's fine. If that's the case, you can connect the two systems very easily using your crossover cable IF both systems have a network card. Just plug one end into one system, and the other into the second system. As Andrzej said, configure their IPs to 192.168.0.1 and 192.168.0.2 both with subnet 255.255.255.0 (in the network control panel, there will be a listing of your network cards, click on the one in question and select TCP/IP settings - this is where you type the IP/subnet information in). Leave all other field blank in both cards.
Sharing via windows XP is insanely easy, just get properties on your drive and under the sharing tab simply click 'share this drive' (remember to disable this when you're done). From the old computer attempt to access \\192.168.0.1\<drivenamehere> (or 2, whichver IP the new computer has) and copy your files. Should take approximately 30 mins depending on the speed of your drives (assuming 100mbit capable network cards).
-dd3mon