A gateway address is only used if you need to access another network - i.e. the Internet, or another local network in large coroprate networks. In your case, with two machines connected to each other with a crossover cable, the default gateway will never need to be addressed by either machine, so even if you put a totally fictitious address as the gateway, communication between the two machines would still work.
If some network applications (e.g. Amiga Explorer) are working but others aren't, then there is a firewall or something blocking the port that that particular application is attempting to communicate on. If the ping packet doesn't make it to the PC, then it is Windows that is doing this.
Do you have any security software on your PC? ZoneAlarm maybe?
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moto