If you know the port that MSN uses for file transfer(I don't use MSN), you can run netstat -a and it will list the open connections and their ports. If its an outside IP then its using you internet connection, which is most likely the case. The 3-4Mb connection would be due to it being so close(in this case 0 hops away).
You have a router right? That should have protection built in. You shared folders should be safe from outside viewing if your router is setup correctly.
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