The detailed instructions in this 8-part article will show you how to connect two systems directly via several different physical methods, including a crossover cable:
How to Configure a Direct Cable Connection with Windows XP
Your problems with missing Folder Options, Task Manager, etc. are normally caused by malware making changes to your registry in order to make removal more difficult. There is a tool that can undo some of these settings, however until you actually remove the malware, you're likely to have the problems surface again, along with many other problems as well.
Remove Restrictions Tool by Sergiwa: http://en.sergiwa.com
For dealing with malware, see my post here: viewtopic.php?p=1287#1287