The new MSN has a feature which blocks many file extensions from being sent through MSN. This was due to the large number of viruses spreading through MSN.
This is a list of all the extensions that are blocked.
.ade .adp .app .asp .bas .bat .cer .chm .cmd .com .cpl
.crt .csh .exe .fxp .hlp .hta .inf .ins .isp .its .js .jse .ksh .lnk
.mad .maf .mag .mam .maq .mar .mas .mat .mau .mav
.maw .mda .mdb .mde .mdt .mdw .mdz .msc .msi .msp .mst
.ops .pcd .pif .prf .prg .pst .reg .scf .scr .sct .shb .shs .tmp
.url .vb .vbe .vbs .vsd .vsmacros .vss .vst .vsw .ws .wsc .wsf .wsh
I recommend that you download
Stuffplug NG which has a feature to get rid of the blocking. This feature needs the other contact to have the plugin as well.
However, after downloading this, see
http://shoutbox.menthix.net/showthread.php?tid=43384 for a script which
lets other contacts recieve files even if they don't have stuffplug.
EDIT: the list of extensions is not only limited to that. See
Msn doesn't let me receive any pics for more on blocked extensions.