You could always try using something like MSN I'm but it can take some time to send. I have never had a problem with www.yousendit.com
! You also need to ask your friend what type of file they are sending you and what program there using as this also can make problems with you opening it.
I would also remind you that most music has copy rite, you need to make sure your not breaking the law in any way with what your sending.