The reason they don't work when connected directly is you would need a seperate cable called a "crossover cable" to communicate directly between the 2 PC's (with no router or hub). For the lan gaming you want to make sure that you have the same workgroup setup on both machines. Right click my computer and go to properties, there should be a workgroup setting, just make something up but make sure to keep it identical for both computers. For accessing shared folders, sometimes xp makes you use the guest account for verification. In the control panel under Computer administration, select users and groups and set a password for the guest account. Then when you try to connect to her PC if prompted enter "Guest" and whatever password you set up.
Hope this helps, I would continue but I'm about to go eat. The workgroup settings should take care of your lan gaming problems... sorry so short I'll be back later to check the thread.