On my mac, I changed some of the file sharing settings to allow windows files sharing (oups!...) and also the LW port to 6348. I restarted LM and now I have a new paragraph in the "direct connect" window that says: when your friends want to connect to you they should enter...
So it seems like my mac can now allow direct connect, but the windows computer doesn't have that paragraph and still doesn't direct connect to me or vice-versa.
I went on the Lynksys website, but I don't understand how to assign a static IP to foward a port and I would hate screwing up the other computer.
We now decided to trash the LM that was in the windows computer and we are downloading the latest version. We will see if this could help resolve our problem.