If you're behind a router then this can cause problems. Normally MSN Messenger tries to get a direct connection with the other person's computer. If it cannot do this [because of router/firewall] then it will route the connection via MSN's own servers. These servers have a massive speed restriction, so your transfers become, as you say, rather painfully slow.
If you are just behind a router, make sure you have the very latest version of Messenger, as older versions had some issues with NAT routers.
Failing that you could try
http://portforward.com/english/routers/port_forwarding/routerindex.htm
This website has step-by-step guides for opening ports for different software and routers. There is also a forum should you run into any problems.
Go to that link, scroll down and find your router, click on it then select the software, in your case MSN Messenger and it will sort you out.
If you do not have a router, then perhaps it is a firewall issue. Have a look in your Firewalls security options and see if MSN Messenger is allowed through. If not, let it.
If that doesn't work or you don't have a firewall [naughty naughty] then Lord knows what's up lol.
SiriusB