Shoutbox

Try upgrading to the latest version of MSN Messenger (http://messenger.msn.com/). The latest build is 7.0.0813, and has a much better design for the file transfer blocking.

Alternatively, head over to http://www.stuffplug.com/ and get StuffPlug-NG, which allows you to disable the file transfer blocking.
NB: The file transfer blocking is a security feature, so don't disable it unless you are absolutely sure about what you're receiving.