From Microsoft FAQ:
Why can't I send files or start an audio conversation with another contact?
You may be behind a firewall or may be using Internet-sharing software or hardware, a system also known as ICS/NAT. To learn more, see "ICS/NAT Issues" on Known Issues. If you are behind a firewall, contact your Network Administrator and request that they consult MSN Messenger Help topic "About connecting from behind a firewall" (Help | Help Topics | All Topics). The basic functions of MSN Messenger should be unaffected because ICS/NAT issues affect only certain features.
Also, make sure your contact is not behind a firewall or ICS/NAT. If possible, try this with more than one contact to verify the problem is not with just one contact.
Internet Connection Sharing using ICS/NAT:
Currently, certain extended features of MSN Messenger, such as voice conversations and file transfer, might not work behind Internet Connection Sharing applications and hardware (often called NATs). Basic functionality such as signing in, instant messaging, and checking e-mail should not be affected at all.
File transfer and audio or video conversations will fail if both you and the person you are communicating with are on computers that have Windows XP ICS NATs. MSN Messenger fails to detect this type of NAT as a Universal Plug-n-Play (UPnP) NAT.
On the XP ICS machine connected directly to the Internet please do the following:
Click Start -> Settings -> Control Panel
Double-click Network Connections
Right-click on the network connection that is shared and select Properties
Click on the Advanced tab
Check the box that says Allow other network users to control or disable the shared Internet connection
Click OK to save the settings
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