so I've heard of people getting viruses and stuff from files transfered via MSN Messenger I myself use Windows Live Messenger and I'm not sure if you can do this in regular MSN Messenger but here it is anyway
Goto options when your logged in
Click 'File Transfer'
Check 'Scan Files for Viruses using:' browse for your virus scanner
and if you really wanna be safe check 'Automatically reject file transfers for known unsafe file types'
and Click Apply and OK
then whenever transfering files via MSN your virus scanner will scan the file being transfered while it is transfering
