Shoutbox

It's a security feature built in by Microsoft because mp3's(along with some other file formats) can be dangerous - This is why some things are blocked and not others. As a result once you click OK on that error message WLM deletes the file.

The easiest way to circumvent this is to go to where the received files are stored(usually '\Documents\My Received files' (Vista) - '\My Documents\My Received Files' (XP)) and open them yourself.

If you happen to click the link in the conversation window and the warning pops up then, BEFORE pressing OK, go to the Received Files folder and move the file to somewhere else(eg: Desktop) then press OK on the warning, and you can then do whatever you want with the file as WLM will not have been able to delete it.