which firewall is your friend using?
maybe some ports are blocked
try going to this thread, it talks about the different ports that need to be open for all your msn features to function. there is also a link to a program there,
http://www.hopster.com/ , that can bypass ports that IM programs use
http://shoutbox.menthix.net/showthread.php?tid=29...d=286732#pid286732
Also try these links:
Allowing applications through a Windows XP firewall
http://www.pcstats.com/articleview.cfm?articleid=1618&page=7
Allowing common applications through Home Internet sharing devices
http://www.pcstats.com/articleview.cfm?articleid=1618&page=8
Edit: I could be wrong though, maybe somebody with more experience in these matters can help you out better 
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