The msn messenger uses non standard port numbers for file transfers, meaning that with other instant messaging clients like ICQ it's easier to get it working. When you're directly connected to the net, like on a dialup connection, it's hardly a problem. But if you share a connection in an office, school network etc the admin has to manually set up the ports in the firewall for the file transfers to work. As you've guessed, that's not done by default.
I don't know what your situation is but most cases like yours are related to the above.
ok thanks for the reply but this is just a family computer. I tried turning the firewall off but that seems to have no effect. Perhaps my dad has done something to stop outgoing file transfers that would be typical of him