Crossover cables are no longer needed....if at least 1x of the two computers has a gigabit NIC. Part of the gigabit standard is auto MDI-X. So you can plug 2 computers together with a regular patch cable. Same for uplinks to routers/switches/etc.
But having a crossover cable won't hurt you either, it's just....spending the money, or time to build one, wasn't necessary.
Do you have N wireless? Sounds like the wireless adapters are being used for the transfer. Try unbinding server/workstation (file and print sharing) from your wireless adapter, forcing Windows to use the LAN NICs for that.