If you always get a couple red Xs on step 2 below, and you are sure you have setup file sharing properly, then more than likely you have a firewall issue. (NOTE: You will NOT see this screen if using Basic File Sharing, only when choosing Advanced file sharing)
Firewalls are good at protecting your computer, but sometimes not so good at allowing you to do things with your computer such as allow file sharing, even if that is what you want to happen. With the Windows Firewall, built into all versions of Windows (and the Mac firewall), will automatically allow file sharing to occur when you setup your shared folders, most other firewalls will not. You have to manually allow file sharing, as well as sharing your folders. Imagine your computer is an apartment building. Your computer 'address' on a computer network is the address of the building, but there are also many doors inside the apartment building, with different tenants... the same with a computer, there are different 'ports' for different things, such as file sharing. With a firewall, most all the doors are locked, but we need to open a few to let file sharing happen.
EDIT: A lot of firewall software simply requires you to setup your network you are on as 'trusted' or a home network. Here is the instructions for file sharing for Kaspersky Internet Security
The easiest thing to do is to turn off the firewall, but this is not always desirable (though not necessarily a bad thing!). The proper way to do it is to open 'ports' on the firewall, to allow things to get 'in', such as the protocols for file sharing. The following ports below are the ones that need to be opened for file sharing to occur.
• TCP/UDP -> 135-139
• TCP/UDP -> 445
Every firewall software is a bit different so please follow any instructions in your firewall software to enable the above ports.