The idea is that when both sides run this p2p.exe as an engine, one of them can instruct it to connect to the other through the engine-configuration menu, by entering the IP address of the other, and pressing the Connect button.

After that they can start a game, and play against each other by each starting a game against p2p with compatible parameters (i.e. if one plays white, the other had better play black!). Their respective GUIs will think they are playing an engine, but p2p will shuttle the moves between them. They can also exchange text messages, which will appear as 'thinking output' of the pseudo-engine.
For more information, see a thread in the programming forum.
Download available at http://hgm.nubati.net/p2p.zip .