Here are the instructions for Windows users on connecting to a RPi by using just an Ethernet cable and a DHCP server. There is no need for a cross over cable, as the RPi can handle it. I have a blog post that documents this with pictures here which may be easier to follow.
Downloads
Download the DHCP Server for Windows (download link is here). Unzip the zip file and open the dhcpwiz application, which will configure the DHCP server.
DHCP Server Configuration
Hit next on the first screen.
On the second screen, look for a "Local Area Connection" row and verify its IP address is 0.0.0.0 and its status is enabled. Connect the Ethernet cable from the RPi to your laptop, and turn on the Pi. Hit refresh on this screen until the IP address changes to 169.254.*.*. If it is anything else then you should alter your network settings for the Local Area Connection (make sure it is not a static IP/DNS). Click on this Local Area Connection row and hit next.
Check HTTP (Web Server). This makes it much more easy to locate the RPi's IP address. Hit Next.
Take the defaults and hit Next until you get to the Writing the INI file screen. Check Overwrite existing file and hit the Write INI file button. Then hit Next.
On the final screen, check Run DHCP server immediately and hit `Finish.
DHCP Server and Obtaining the IP Address of your Raspberry PI
This launches the actual DHCP server, using the configuration you just created in the previous wizard. Click the Continue as tray app button, and the DHCP server will be minimized to your system tray.
Anywhere from 1 second to 5 minutes from now you will see an alert on the system tray with your laptop and your RPi's new IP address. This alert is really quick and you will probably miss it. Normally your RPi's IP is 169.254.0.2, but it could be *.01 or even something else. It is easier to access the DHCP server's web UI at http://localhost/dhcpstatus.xml. This will list the hostname as "raspberrypi" with its IP address.
Now you can putty or remote desktop into your RPi, and configure its wireless settings or whatever you want to do.
Trouble shooting
This can be somewhat finicky. I've had my connection appear to drop and have been unable to SSH back in using the IP address. Normally, I can restart the Pi and get the IP address again. Sometimes I have to restart both the RPi and the DHCP server. Sometimes I have to do this multiple times. At one point when I wasn't getting a connection for 15 minutes, I copied all of the files in the dhcpsrv2.5.1 folder to a new folder and tried again; it immediately worked.
