It is near impossible to be hacked but it isn't impossible. Seeing how connections through MSN are not Direct Connections (meaning one computer isn't connected to another) It is pretty hard to find the IP Address of the contact you are talking to unless you send a file and get the IP that way. Now whether or not you open an files from this contact or not will not make it easier or harder for you to be hacked unless it is a backdoor torjan. But with the recent release of MSN, most file extensions are blocked from being transfered. Just leave your firewall up and it will be pretty hard for you to get hacked.
Routers work wonders
Matty
Note: spokes you need to provide a more technical solution. One word posts are against the forum rules.