Shoutbox

It's probably due to the router.

If you both use routers and they don't support port forwarding / UPnP then Messenger will use its P2P rather than MSNFTP (I think these are the wrong names, btw).

Basically, P2P is the older file transfer method which sends the file to the MSN Switch-Board server, meaning that your file has to go You - MSN - Friend. MSNFTP creates a direct connection between You and Friend, cutting out the MSN bottleneck - resulting in much improved speeds.

The downside to this is that MSNFTP can only create a connection between external IPs - and if the external IP doesn't resolve directly to the computer which is sending/receiving the file then it can't create the connection.

I can't think of a way to solve this because I believe that the protocol just uses a random un-open port on either computer, meaning that you can't set up manual port forwarding.

Edit: You could put one of your computers in the routers DMZ, however this would mean that any other computers on the network would be unable to listen (ie, create games, run web services, etc.) to the internet. (Although if you've not run into this problem before then it probably won't matter).