I havn't tried this myself but this has been working for ICS. I believe that bridging the connection is the key to getting DHCP to work.
Here's a checklist of things for ICS and file sharing for 2 croslinked computers (in my case a Windows 7 and XP one):
- both computers set to the same workgroup
- advanced sharing settings - all things turned on (network discovery etc.) except for password protected sharing
- bridged the connection with the internet
- turned on Internet Connection Sharing for the internet connection - this forced an ip to the other connection (192.168.137.1) and gave an option to select which connection should have access to the ICS (the second connection or the bridge - you choose the second / crosslinked cable connection)
- shared some folders on both computers
- worked instantly (the other pc aquired a correct ip and internet)
From this thread. Internet Connection Sharing between 7 and XP
But I have to ask, if you already have a router why not just use a switch to connect your other machine? I certainly wouldn't use ICS if I already had a router.