I now plug the crossover cable directly to pc and player right?

Yep. You should get a link light confirming the connection.

Any special settings I need to set up also?

Just set them both to have IPs on the same subnet (e.g. 192.168.0.1 and .2).

Anyone know if the empeg does link-local? If so, you can just set both for DHCP and after failing, they'll pick IPs on 169.254.x.x and be able to talk.