Got any kind of external disk -- USB or FireWire?
You're going to need some sort of physical medium to move the files from the Windows computer to the Mac -- a network, an external disk that you can move between the computers, an iPod, etc. Do you have any of these?
A simple network can be made by simply connecting an ethernet cable between the two computers. The Mac will auto-sense the cable (whether it's a normal ethernet cable, or a "crossover" cable) and adjust it so that the two computers can be networked in this setup.
Otherwise, you'll need some external disk drive or some other physical medium in which to transfer the files.
Another possibility would be to use some web space or email or something -- a Gmail account, a .mac account, some online storage account, etc. It would be as slow as your internet connection though, so while not the fastest method, it's one sure-fire way to get it done.