Well, first, you have to make sure you xbox has a static IP. Routers usually asign one to devices, however, the software will have to do it since the router is not there. They should be in the dashboard settings which support ftp. Your PC will act like the cable isn't plugged into anything at all if the xbox hasn't got an IP.
Next, you have to asign your computer one. For same reasons as the xbox, none is asigned to your PC. Chaddy made a small tutorial on my site on how to do this here:
http://www.xbox-beyond.com/crosscable.htm
After your xbox and you PC have IP's (xbox will need to be reset after changing settings), you should be able to connect to the IP you set on your xbox.