While MSN allows you to directly send files to another user, a quicker method is to use MSN's File Sharing plug-in. On some MSN Messenger clients, 'File Sharing' can be accessed in the 'Activities' drop-down list while the chat Window is open. This can also be accessed at the following link (2nd last activity from the bottom): http://www.mess.be/msngames.htm
There are a few private file sharing networks available also in which only people you specify can join the network. I haven't tried any of these, so am unsure what the performance is like.
Finally if both yourself and the other person have external IP addresses, one other very popular method of file sharing is using FTP. The user that wishes to share their files sets up the FTP server, selects the folder(s) to share and applies a logon username and password to access them. They must obtain their IP address to provide to the other person who wishes to access their files. This can be got by going to privacy.net (IP is shown on the main page). The other person just has to enter 'FTP://(IP Address)/' and provide the username and password when prompted to access the folder shared by the other person.
Unfortunately, the FTP method only works if the person running the FTP server has a direct connection to the Internet. If they use a router or firewall, they must allow or map the FTP port to allow access to their FTP server.
The following site lists a few freeware FTP servers: