Yep, it should work.
The situation that it works with both devices having indirect connection (via a router) is much more common. So I'd try to get that working first. And then you might find that the direct connection works also.
I have been trying to connect my laptop (Windows Vista) and my netbook (Windows 7) with a crossover cable, and I have followed every single step of the instructions I have found on the net, including disabling Windows firewall, but it won't do it and when I try to ping the failure seems to be when the netbook tries to ping the laptop (100% loss).
Any advice? What could the problem be?