Just because both ends are female does not mean it is the correct cable. Make sure it is, in fact, a null modem, or crossover cable. If you have access to a multimeter, check to see whether pin 2 on one side is connected to pin 2 on the other. If it is, it definitely is not a nullmodem cable.
BTW, on my Pentium class machines with serial mouse, I was not able to make my modem work properly without disabling the second serial port on the motherboard, so I would not be able to run a serial game. You obviously have a modem. Are you certain that the serial port is active?
Thirdly, a 10 BaseT network setup for 2 machines can be had for $50, maybe less. It's been a while since I bought anything but 100 BaseT. This configuration gives you many more options, and the ability to play many other games and, most importantly, IMO, the ability to have your frieds bring their machines over for a LAN party.
USB may be better in the future, (I remain unconvinced -- practical gigabit xmission rates may be just around the corner) but way too many older machines do not have integral support of USB.
Keep your stick on the ice.