I'm also not sure what you are doing here with these two computers. If you are migrating Windows data to a new Mac, then follow @my ginger's advice.
If you want to transfer data directly between these two computers for any other reason, then you should enable File Sharing on one or both of the computers. Here is an Apple article on how to enable File Sharing on a Mac, but to enable file sharing on Windows you will need to search online for instructions:
Set up file sharing on Mac - Apple Support
It is possible to put the Mac into Target Disk Mode and connect it to your Windows PC, but you will need to install the appropriate Paragon file system driver in order to be able to read the data on the Mac. I do not recommend writing to the Mac using this method (especially the boot drive volume since you may end up causing damage to the file system). This method also has the downside that you cannot actively use the Mac while it is in Target Disk Mode.
I am not aware of any way of having the Mac access the data on the Windows PC using a data cable since PCs don't have anything like the Target Disk Mode on Macs.
File sharing is the best option unless you want to use an external USB3 drive (with exFAT file system), or use a NAS (Network Attached Storage) to store the files independently of both computers (you will need to backup this NAS if you value the data you store on the NAS).
https://en.wikipedia.org/wiki/Network-attached_storage
https://www.tomshardware.com/best-picks/best-nas-devices