Actually that is normal, and other instant messaging software like ICQ will have the same results too. Those software send files by establishing a direct connection between the sender and you for faster file transfer, instead of the file going through their server like sending messages. Since your computer is not the one directly connected to the cable connection (but on the internal network), AOL IM cannot establish that direct connection. As far as I know, there is no way to get around it. Just tell the sender to send it to your e-mail!
If your computer IS the one connected to the cable modem, then you should be able to receive files normally.