How about an experiment?
For one of the computers, disable the connection to the internet. Make the connection between computers.
Observe results. Access Internet from browser for each computer.
Use the ipconfig /all command to monitor the responses on each computer.
Internet Connection Sharing is beyond my comprehension. But this experiment may give direction.
Check the events logs for possible reports. I would have guessed one of the computers would have become the 'master' rather than both disconnecting.
Logs & status tables in the router may give another view.
Also congratulations this is topic100000 at TechSpot
WoW! I have touched a memorable event.
[edit]
Picking up on Jobeard's theme. For the connections between each computer, make the ip's static and their own private network. In first computer use
192.168.200.200 ; in the second computer use 192.168.200.202. Both assignments were arbitrary. DCHP should be off for this connection.
[/edit]
[experiment results] Windows XP
Crossover cable permits file & printer sharing. Internet traffic not supported between machines on the crossover.
Either computer and both computers can establish network connections.
ZoneAlarm on each computer shutdown the router interface (forced home networking onto the crossover cable).
I could not establish a functioning Internet Connection Share between computers.
[/experiment results]