If you get this error when on MSN “Message could not be sent because a connection error occurred”, it does not necessary mean there is a connection error. It may also mean that Microsoft is filtering your message.

Theyre doing server side filtering, and killing your messages as they fit if they match an expression. Blocking popular items like:

• .info
• profile.php? (including ˜?)
• download.php? (including ˜?)
• gallery.php
• pics.php
• ListAllTopics.php
• .scr (source)

Source: MSN censors your messages

I tested and I did not get any connection error, instead the other party simply did not receive the whole message containing the blocked word.