• create cross cable ethernet to connect between mac and windows
• set your windows ip (eg: 192.168.1.1 subnet 255.255.255.0 gateway leave blank)
• set your mac ip  (eg: 192.168.1.2 subnet 255.255.255.0 gateway leave blank)
• make sure you can ping ip from mac to windows
• in windows set folder documents to full sharing (right click properties – sharing)
• take files from mac, use command opt://192.168.1.1 (Go – Connect to Server)

Have a Try