Pop-ups when using messenger

I have seen loads of people complain about the pop-ups when they used messenger, but never experienced it myself, so wondered what all the fuss was about. just recently I have installed a new firewall, and can't figure out how to get it to let me send files when using MSN, so whenever I want to send a file, I disable it. As soon as I do that, I start getting the pop-ups. As soon as the firewall goes nack on, they stop.

Hope this helps some people.