Grid and SR3 are both Sega Europa R games, and both network the same way. To enable networking you first have to go in and change the paths at the bottom of the file at c:\*path-to-your-SR3-Dir*\sega\grid\debug\config.xml
Only you'd change "\grid\" to "\rally\" in the path in this case, IIRC? Open the config.xml file in wordpad, don't use a browser. Below is the default, but you need to change the paths to where your game is. And obviously you also need to edit the shelldata.ini file itself as well to enable the network option and give each cab a unique ID, but it sounds like you've already done that bit.
<sega_shell
shell_path="c:\sega\Shell"
shell_data_path="c:\sega\ShellData\"
shell_data_ini_path="c:\sega\ShellData\ShellData.ini"
shell_game_ini_filename="Game.ini"
shell_game_settings_ini_path="c:\sega\ShellData\GameSettings.ini"
shell_shutdown_time_limit="60"
/>
In short, if the paths aren't set, the game won't see your changes to the shelldata.ini file for the network and cab ID's, and any changes to the other files too. If the cabs won't link after that, make sure the rally.exe file is allowed through the firewall for private networks.
Very forgiving games to LAN. Doesn't matter which one you start first, and after setting things up as above you can still boot either one without the other and play single.