If you try to send a message containing any of the words' ".pif", ".scr", "download.php" or "gallery.php" the message will be silently discarded. The official client from Microsoft will provide no indication to either the sender or recipient that the message didn't go through.
Considering that .pifs and .scrs are virtually unused in the Windows world today and are more likely to be the source of a virus spreading itself, it isn't all that of surprising thing that they'd choose to filter. After trying it myself, I noticed that not only does it filter the message, but also disconnects the conversation. Perhaps a way to defeat some types of bots from propagating themselves over IM? In any case, it begs the question “What else is filtered?”.