Ah, you have hit upon the demon called 'multihoming' in OS X. This feature allows you to configure TCP/IP, Appletalk, etc. for EACH network interface in your Mac.
For example, your 56k modem is one, and is configured just fine. You also have an ethernet interface, which needs to be configured seperately, and is treated like an entirely different connection from the 56k modem. So you can configure your Ethernet to have any IP you wish, and it will not affect your ability to get online.
This is what you need to do:
Enter the Network Preference Pane.
Select 'Ethernet' or something like that from the 'Show' Pop-up Menu.
Enter in a manual IP into the IP field (after telling it you want to configure it manually). I suggest something like 10.0.0.x, and set a subnet mask of 255.255.255.0
Do the same with the PC, configuring the TCP/IP interface to use a different 10.0.0.x IP address, and the subnet mask 255.255.255.0
DNS and Router IPs don't matter, you don't have any on this cross-over cable ethernet network.
Then, from the Mac/PC, ssh or sftp to the IP that you gave the other.
Example: Mac = 10.0.0.1, PC = 10.0.0.2
Mac -> PC, you enter: 10.0.0.2 as the IP, PC -> Mac, you enter: 10.0.0.1 as the IP.
I can't quite remember how to properly setup the PC with a manual IP, it has been awhile since I configured it.
If you have any other questions, post em here.