Someone is trying to send me a song with msn, but when i'm opening it windows says it can be unsafe. And the song is being removed, how can i play this song....I don't want to put the firewall of, but if that's nessecary, i will.

Just have your contact zip or rar the file he/she is sending you before sending it.The windows security you`re talking about will let a .zip or a .rar pass thru.And then you just unzip it when you have it and voila you got the .mp3 file.

And if the problem is that you get the file but when it`s finished transfering and you click to open it (in your messenger window) and windows blocks it in that case I`ll say don`t try to open it directle from the messenger window , go to the directory where msn stores received files "My Received Files" C:/Documents and Settings/your windows username/My documents/My Received Files and open it from there and I`m pretty shure you will be able to run the file without a problem.
Hope this helps,

El