Actually, Microsoft is blocking transfers of what they call "potentially unsafe" files. So, now MSN has a filter that doesn't allow you to send or receive some kind of files. You can try to rename the file, changing the extention to some unknown kind of file (it works). Another choice is to get a patch that removes this blocking, but I think that both people (the one who's sending and the one who's receiving the file) must have the patch.
I think that this blocking is totally stupid, they are blocking .JPG, .MP3, .AVI, .MPG, .ZIP and other kind of files that are very common. I know, they can spread virus, but you only have to rename the file, and the transfer occurs normally. They are blocking their own media extentions (.wmv and .wma)! Not a good strategy, IMO.