There's a couple more ports (don't remember off the top of my head, sorry) that you'll have to open. In fact there is one port to open for each simulaneous transfer that you want to do. I'm almost positive you'll find this info in the MSN messenger help files. Just open help in the messenger and search for "port" or "firewall" and you should find it.
Be advised: I *think* you can get file transfers to work through the linksys but some more advanced stuff like remote assistance, voice/video chat and some others simply wont work without a UPnP enabled router.