I’ve had this problem with Trillian as well, with MSN and the AIM mediums. My problem was that both I and the person I was attempting to exchange files with were behind one or more hardware firewalls. If you have a cable/DSL modem or a router, you more than likely have a firewall that you may not know about. In order to redirect the traffic that my DSL modem AND router were “throwing away,” I had two choices.
1) Designate my computer’s IP as a DMZ (not recommended)
2) Perform a command line “netstat -n” before and after attempting to send a file, finding which of the entries is the file transfer (it’s the new one that wasn’t there before), and setting that port and a range of about 10 on either side just to be safe to be redirected to my computers IP on the LAN. I set the modem to acknowledge the router as a DMZ so the router would have some data to work with.

Hope this helps.