In Windows (XP, etc.):
- Click Start
- Click Control Panel
- Click System and Maintenance
- Click Administrative Tools
- Double-Click Local Security Policy
- In the left pane, click the triangle next to Local Policy
- In the left pane, click Security Options
- In the right pane near the bottom, double-click Network security: LAN manager authentication level
- Click the drop-down box, and click Send NTLMv2 response only
- Click OK
Thanks to jimmah.com for the hint.
On the Yosemite side you can also switch down to SMB Version 1 (not recommended for security reasons)
to the file /etc/nsmb.conf in the [default] section.