Shoutbox

Actually the files ARE written to disk during the transfer.

Messsenger creates a temp file the same size as the file to be received, then writes to it every so many bytes during the transfer (in Vista, this is usually in "C:\Users\<username>\AppData\Local\Temp"). If the transfer fails for whatever reason the file is deleted immediately (thus, if you terminate the Messenger process before you have finished receving a file, Messenger doesn't get chance to remove the temp file and so the received data is still there.)

As the transfer failed the file almost certainly will have been deleted. If you were to scan your hard drive immediately after the transfer failed using a file recovery program, it might be possible to recover what was received, but even then it's very unlikely.