It's called "Direct Cable Connection".
The following URL tells you how to set it up in Windows XP:
http://support.microsoft.com/kb/305621 The cable itself was (is?) commonly referred to as a laplink cable. Laplink is the name of the software that first allowed this sort of parallel-to-parallel connection years ago, and it came with a cable wired in a certain way.
You may find the pinouts for a parellel-to-parallel cable here:
http://support.microsoft.com/kb/q142324/
