The newest Norton and McAfee automaticly scan files you receive by IM so off course they will filter out worms, but you're right that this happens AFTER you downloaded the file. Still it does not really make a difference because norton/mcafee will quarantine the file so you can't open it.
[little bit offtopic, srry for that]
Btw.. if you don't have the newest norton / mcafee you can still let it scan ur files received from your contacts in MSN. Just go the preferences windows and then the tab messages (i have dutch msn). [See attached file]
For Norton (i.e. 01/02/03) you have to use the NAVW32.EXE exe-file which is located in the Norton Antivirus directory