I'm assuming that you have confirmed that MSN Messenger is set-up correctly. (In the Tools Menu select Audio/Video Tuning Wizard and follow the instructions.)
The other persons Firewall is probably blocking the ports needed for MSN to work. If they are using Zone Alarm get them to reduce the Security Level to Med. (This is quite safe to do.) If they are using another Firewall product get them to contact the manufacturer.
Peter Mansfield, December 2004