Decide that the best bet is to connect to an intermediate machine. Only serial connection options available. Scour the building for a suitable cable. Find crappy and crappier guides on DCC. Finally get something resembling a connection to have Windows 95 bomb out demanding a password, in spite of the fact that I have explicitly stated no password connection 5 times now.
End result? A week long headache and a dentist looking at the powered residue in my mouth wondering how in hell that happened...
EDIT: Just after I posted this, I hit one checkbox on the Windows 2000 PC, "Enable modem speaker". It connected straight afterwards.