Check whether the connection is up first. On the PC, it will tell you in the System Tray when the connection first goes live, and will come up with the speed and duplex settings for the interface. On the Mac, you either go to the Network applet in System Prefs, where the Network Status screen will show an orange or green blob (as opposed to red), or if you open the terminal, you can run the "ifconfig en0" command.
The most likely reason I think for them not connecting is that the auto-assigned IP addresses aren't working correctly on one of the two machines. An easy way of getting around this is to go into the Sharing applet in System Prefs on the Mac, and share your wireless connection out via your Ethernet connection. This will assign a local IP address to the Ethernet interface, but will also allow it to assign an IP address automatically to the PC.
Check the addresses match by comparing what's in the Sys Prefs>Network>Ethernet>TCP/IP settings on the Mac against the results of an "ipconfig" command on the PC. The two numbers should start 192.168, should have their third number the same, and only the last number will be different.
Then, as it sounds like you already have Windows sharing enabled on the Mac, it's just a case of connecting from one to the other. From the Windows machine, you would go Start>Run... then type in \\Macname\~username, but entering your details instead (the Sharing panel will tell you the exact path if you select Windows Sharing). From the Mac, open Connect to Server from the Go menu, and type smb://windowsname/sharename
And that should be it. After that it's just drag and drop.