It should be common sense for everyone to NOT accept any file over MSN. Whether it's a virus or not initiating a direct file transfer with someone can be dangerous depending on how skilled they are.
Any file transfers should be done over yousendit or rapidshare for example. Any picture someone needs you to see should be hosted on imageshack or tinypic.
If you are trading for something that isn't either of those (IE RS gold/pins/accounts etc) then there is no need to accept any file. It doesn't matter if they say you need to because you really don't. If they don't want to do it they safe way, tell them too bad.
If you are buying graphics or anything else, use the above steps I've mentioned.