It's not windows, it's MSN messenger: what you need to do is disable the blocking of certain file transfers - go to
www.mess.be
'downloads' -> 'search our files' -> and search for 'transfer'
Either the 'mess patch' or 'file extension unblocker' will do the trick
Hope that sorts it for ya, bear in mind you may need to unblock the transfer of certain file transfers at BOTH ends (i'm not entirely sure if it's only receiving or sending as well that is blocked)