Yes, msn has to open the switchboard session with the server before you can send the file.
So yes try that.
May also be file extentions.
A number of file extentions were blocked in msn 7.0.777
These include:
ade, adp, app, asp, bas, bat, cer, chm, cmd, com, cpl, crt, csh, exe, fxp, hlp, hta, inf, ins, isp, its, js, jpeg, jse, ksh, lnk, mad, maf, mag, mam, maq, mar, mas, mat, mau, mav, maw, mda, mdb, mde, mdt, mdw, mdz, msc, msi, msp, mst, mp3, ops, pcd, pif, prf, prg, pst, reg, scf, scr, sct, shb, shs, tmp, url, vb, vbe, vbs, vsd, vsmacros, vss, vst, vsw, ws, wsc, wsf, wsh.
Have no idea why they blocked jpegs and mp3s.
However, MS is deveping a patch which should solve sign in issues and allow sending of mp3s and jpegs.
It is currently being beta tested atm. Its build 7.0.813. btw it has being leaked so google search it and you may find it.