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I think they're wanting to "share" stuff over the internet via their cable connection?
Since you're both behind firewalls, you could try "port forwarding" to the private IP address that you're cable router is giving your PC's.
The only thing is, that ANYBODY could get onto your machine through that port.
You could also try setting up an FTP server on each machine and allowing that port only, while only giving each other access. This would probably be the easiest and you could do it easily with an FTP application downloaded freely.
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