What The? (Windows "blocking a file")

[linkgoron]

So I downloaded a song after ages, I just needed one song for my Guitar lessons. anyway, I needed Knocking on Heavens door (G&R) so I asked a friend to ssend me the song if he can. So he sent it through MSN and when i tried to play it through the MSN "link" a message popped up "the file is potenitally dangerous, windows blocked the file" something like that).
So first of all does that mean that the file was dangerous, or just that I can't get MP3's from friends, or just that windows wants to annoy me , and has no right to block files for me?
I can't find it in the music folder So, should i ask my friend to send it again, or was it actually spyware/a virus?

 

[KB]

Microsoft products have a habit of taking security to annoying levels and blocking innocent files. Have him zip the file and see if you can get it that way.

 

[Nothinman]

I think there have been exploits with MP3 files in the past, probably to do with ID3 tags, so it's not like MS is just picking random file extensions.