Yes it is possible. I connected my powerbook to my Win Laptop and it worked beautifully. Just make sure that you have a share folder configured on your Win machine. (i.e., right click on the folder you want to share, click sharing, check the box labled share this folder).
When I do this, I also turn off airport wireless on my powerbook so I know that the computer will use the ethernet port (i dont know if this is necessary, but I do it anyway). Then just go to the network icon in the Finder window and look for your Win machine.
Note: I am writing straight from memory so hopefully it is correct. Perhaps someone else can come in this thread and verify/correct any mistakes. But what I described should be a good first step and a verification that you can connect an Apple machine to a Win machine with an ethernet cable or a cross-over cable.