A lot of information about direct cable connection is at the following sites

PC Magazine PC Tech - DCC Tutorial
http://www.zdnet.com/pcmag/pctech/content/16/22/tu1622.003.html

Windows 95 Direct Cable Connection Problem Page
http://www.tecno.demon.co.uk/dcc.html

Cables That Are Compatible with Direct Cable Connection
http://support.microsoft.com/support/kb/articles/Q142/3/24.asp