ping is a command that you run in the command line interface aka Command Prompt (black box, white text) that can sometimes be found under the Accessories Menu in Programs.
You would type ping <IP address>, and you would get a series of responses, or a fail to connect/timeout
To find the IP address of the target machine, go to it's command line and type "ipconfig /all" which will give you a variey of information, but you are looking for the IP address; typically something like 192.168.1.x
One of the things that Windows does to "help you" that will drive you nuts, is try to authenticate to another machine with out telling you by using your log-on name and password. This is a whole subject in itself, but check your sharing permissions, and you could even *cringe* TEMPORARILY set the permissions to everyone or guest to see if you can connect, then you'll know it is a networking permissions issue.