You need to have the server running on the computer that has the files that you want to get.

So as hobbdebub said if you both want to let each other get files from your respective computers you will both need to have a FTP server running.

If you do decide to take this route make sure you assign a user name and a password to restrict access to your server! [everyone loves an annonomous FTP server ;-) ]

You have an FTP client installed by default anyway with XP and 2000 so you just need to worry about the server.

An easier way maybe to get a bit of web space and upload them to there, its certainly more secure!

A lot of web hosting companys will give you a small bit of space for free in return for you putting some adverts on the site!
Or, your ISP may offer you some free web space!