Right. Well, I'm running Windows Vista right now so I don't know how accurate this is, but I'm pretty sure its the same on any other system.
First off, MSN Messenger stores these settings in the register. So, we'll need regedit. Close MSN Messenger completely (I think signing off will do, but just close it to be sure). Then go to start --> run and type "regedit" and hit start/run/ok whatever the label says.
Then locate the folder "HKEY_CURRENT_USER\Software\Microsoft\MSNMessenger\PerPassportSettings". In this folder you will find a couple of subfolders, each labeled with an ID (large number). To figure out your id, go to
http://siebe.bot2k3.net/scripts/msn/id.php, fill in your email address and click "calculate".
Once you have your ID open up that folder in regedit and then look for three values, DSFTWarn, DSIMBlock & DSIMClose. The first is to warn you when someone sends you a file, the second when you block someone and the last one for when you try to close the window. If you double click them you will be able to edit their values.
The editing is a bit tricky, so here is how you can do it best: double click on them to bring up the edit dialog. Put your cursor after the first "01" (if correctly it should read "01 00 00 00") so your cursor would be somewhere like "01| 00 00 00" there. Now hit backspace, and type a zero ("0"). It should now read "00 00 00 00". Voila, youre done. Clikc OK (or w/e) and close regedit. Open up Messenger and sign in again. The warnings should have been reset.
I wonder why Messenger support doesn't give you these tips
*cough*
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