I'm not sure if it's just the client that stops them being sent, which it most likely is. In this case both you and your contact would need some change to their MSN Messenger to send and receive files. It could probably be fixed with ResHack, or some kind of patch. In any case that would be illegal and both contacts would need it so here's a simple workaround;
Download and install StuffPlug-NG and enable the zip on the fly compression option, this will make the file you send in an archive that can be opened from the other side after it's sent, if your contact uses any windows version before XP they will need to download and install WinZip. If they use XP, they will be able to access the file.
Hope this helps