First off
The last time i did that my ping was considerably higher than normal (DAMN YOU BILL)
To achieve this you must create a Dial-up link to your friends computer within windows, not UT.
In WindowsExplorer go to DialUPNetworking and there will be a new menu at the top called connections.
There should be a item in there called dial up server.
If not then you dont have the component installed.
If you do, one of the computers needs to run this and check the "allow incoming calls" buttton
The other computer will have to create a new connection to the first computer, when all is in readyness, call the computer that has the server running and it should pick up, creating what looks like an internet connection.
Now both computers must go Into UT and look in LAN servers.
Once one computer has started a network game, it will appear in the lan servers.
(note the computer that creates the game whill have a ping of 0 and the client will have 150-300.
Have Fun
Feel free to send me money