In Windows (XP, etc.):

1. Click Start
2. Click Control Panel
3. Click System and Maintenance
4. Click Administrative Tools
5. Double-Click Local Security Policy
6. In the left pane, click the triangle next to Local Policy
7. In the left pane, click Security Options
8. In the right pane near the bottom, double-click Network security: LAN manager authentication level
9. Click the drop-down box, and click Send NTLMv2 response only
10. 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)
Add
smb_net=smb1_only
to the file /etc/nsmb.conf in the [default] section.