Devices HAVE to be on the same subnet in order to talk directly to each other. If they're not they HAVE to communicate through a router.
The only way to do what you want is to setup both machines on the same network.
The good news is that if you're running Mac OS X, you can configure multiple IP addresses on the ethernet interface.
For example, on each machine, run:
ifconfig en0 192.168.1.1 alias
on one machine, and:
ifconfig en0 192.168.1.2 alias
on the other machine. They can then talk to each other using the 192.18.1.x addresses, and the rest of the world using the PPPoE-assigned IP address.