It shouldnt do, but I dont think theres a "No net access" option.
So just set it up as if one connects to the net and the other connects to the net via the first pc.
Once the wizards been run on both pcs you should be able to see both pcs in the Network Places/View Workgroup Computers.
If you cant then its probably the firewall on one or both pcs thats blocking it, if this happens then see if theres a setting to allow you to add the IP of the other pc to each one. You can see each PCs IP by going into Network Connections and just left click the LAN and it should have the IP at the bottom of the menu on the left under Details.
It will set up shared folders on both pcs on C by default but you can share any other folder on either pc by right clicking and selecting the Sharing and Security setting. Tick the Share this folder with other users on the network and also the box below that says Allow Network Users to Change My Files.
This last option allows you to send from one pc to the other, if you dont tick that one then each pc can only copy files from the other pc to itself which can be a pain at times