There are many MSN viruses flowing on the internet these days. Don't accept random files from anyone on your contact list. The best way to avoid the file is to keep clicking Decline when you get it, if your friend's MSN is affected then you will see several messages asking to accept the file.
I still remember that old bug with MSN Messenger when it was sending messages to all your buddies in the list. That was so embarrassing to tolerate. Did someone remember that?