MSN is routes the connection through a microsoft server while you are chatting. However, when a file is sent, a DCC (direct connection) is created. This was purposely done because otherwise microsoft would waste alot of bandwidth so a direct connection is made. This is your chance.
Start a file transfer between u and ur target (preferably send large file), open up your command prompt (run “cmd” in NT/XP or “command” in 9X to get into prompt) and run netstat.
Usually the MSN targets IP would be above port 2000!
If u recieve some crap like rb286.primsn.com as the target, do a reverse DNS lookup on it. However, this occurs very rarely, mostly u will recieve a clear IP!
You can use similar trick to find IP address of Yahoo users!
Now to protect yourself against this, you can use a proxy server.
Click here to get more info on proxies!