Actually that blocking isn't really perfect, because a simple workaround for the blocked links to go through is simply separate the http: from the rest of the link with a space and the link will go through, you just simply tell your contact to copy and paste the link in the browser and remove the space.
for example this link:
http://www.mediafire.com/?fgyy5vmmt2d (not existent link don't click on it)
like that msn blocks it but if you type it like this:
http: //www.mediafire.com/?fgyy5vmmt2d the link will go through since it gets turned into a normal text as if you're just sending a message without any links on it.
True it makes your contact work a bit more since he or she has to copy and paste it on the browser and remove the space but is the only way for now to send some links that shouldn't have been blocked.