Setup

Enable "Bluetooth"

Open Bluetooth Settings.
Enable "Bluetooth"
It's needed for (initial) connection.

Enable "Nearby Sharing"

Open Settings.
Enable "Nearby Sharing".
Allow to receive from "Everyone nearby".

Enable Notifications

NearShare on Windows sends you notifications to accept transfers.
Enable them in Notification Settings.

Establish network connection

Open WiFi Settings.
Enable "WiFi" (Ethernet is fine too).

Set your home network to "Private"

Open Network Settings.
Choose your current network.
Set it to "Private" to be able to receive via network (faster).

Enable "File and Printer Sharing"

Open Advanced Sharing Settings.
Under "Private" enable "File and Printer Sharing".

Reset Firewall rules

Open Defender Firewall.
Click on "Restore defaults" to reset all rules.