Good morning. Have we read the manual?
When you transfer a file to someone MSN normally shows this notification: "If you are having a slow transfer speed, click here to find out why.". Now, did you click this? ... you didn't?
Well, you can also get to that help subject by going to 'Help' and then 'Contents' from the MSN Messenger menu. 'About connecting from behind a firewall' is the help subject you're looking for.