MSN uses TCP port 1863 for chat. Not sure but either it uses the same port or some high TCP port to transfer files. You can put a sniffer and see what ports is it sending the files through and block them. For your reference, below are some other port info.
common chat ports:-
tcp 1863 (msn)
tcp 6667 (irc) 6660- 6670 (the default being 6667).
tcp 6665-6669 (common IRC)
tcp 5190 (aol)
tcp 5190, dyn >=1024 (aol ICQ)
tcp/udp 5190-5193 (aol)
tcp/udp 4020 (ichat)
tcp 5000-5001 and udp 5000-5010 (Yahoo voice chat)
tcp 5050 (Yahoo messages)
tcp 5100 (Yahoo Webcams)
HTH
R/Yusuf