I have read about people encountering that kind of problem, but I've never seen
it myself. (I try a distro almost every month, and file sharing has worked every
single time for me.)

Perhaps you have one or more firewalls running. You only need a firewall if you
don't trust a computer on your network, for example if you have a tenant sharing
your internet. (If your computer is attached to your modem, with no router,
then you need a firewall.)

Also, some routers can be set up to block communication between computers on the
local network.

During the double-clicking, it can take up to a minute to get a response. I
doubt if you gave up after 10 seconds, though. One thing I have found: always
start at the right place, "windows network," don't skip a step.