Yes, My friend is not behind a firewall and can receive files through MSN from all his other contacts.

I'm still browsing in my router setup screen, and I think I may have stumbled upon something, but I don't know how to implement is.
Under 'special applications', I've got a screen with 8 ID's which I can fill in. In need to fill in a "Trigger" (don't know what this is), and then the 'incoming ports'. When I fill in trigger '1' (eg), and the ports 5004 – 65535 (like that MS page states) it doesn't work, when I press 'save' the ports I typed in dissapear. And then it doesn't work of couse.
There are some pre-defined options, like eg. "MSN gaming zone", which is trigger 47624 and ports 2300-2400,28800-29000. Unfortunately, this still doesn't allow me to send files.

Any help would be appreciated.