Connect directly to another computer is grayed out

Hi Everybody,
I need to make a PC to PC or Laptop to Laptop or PC to Laptop connection using Serial cable (not using a UTP or LAN).
However, when I tried to create a new connection using Advanced Connection Options, the option to connect directly to another computer is disabled. So how that could happen? And how can I make it enabled again. I'm sing Windows XP Service pack 3. Thanks for your help, I need this for my school project.

