I've tried ICQ tonight, and that works fine to transfer files. But I'm not going to use ICQ since none of my contacts do.
I'm not really sure what this means. Smarter programming by the ICQ guys than the MS guys?

In the link I posted earlier, it states that I need something like a "UPnP–enabled NAT device". I don't know what this is. Is this a feature my router should be capable of for it to work? I think I'll go and check out some specs on USR's page then first.

Also, if it is an NAT issue, could this be adressed by an update of MSN messenger in the future? (if they wanted to of course) Or is it a limitation of my router itself?