Try checking your firewall settings, and make sure port 8010 is open.
I haven't tried to transfer files this way, so I'm basing that on this info I found this at http://www.itecs.ncsu.edu/systems/si.../using-jabber:
File transfers with Jabber can either be done direct client-to-client or via a proxy. The default port for file transfers without using a proxy is 8010; so, if you want to transfer files with Jabber and you are running firewall software on your machine, you will need to open that port. If you don't want to open the port or if you are behind a network firewall (such as a cable/DSL router), you can still transfer files through a proxy. There is a list of open Jabber servers where you can find servers that have the file proxy installed (however, proxy.jabber.org is the only listed one in the US). Configuring your client to use a proxy for file transfers can be a little confusing because alot of clients can also connect to Jabber servers for normal chatting via a proxy (which is a different thing than what you use for file transfers). For example, in Psi, you can configure a proxy under the "Connection" tab of the "Account Properties" dialog, but the file transfer proxy is configured as the "Data Transfer Proxy" under the "Preferences" tab of the same dialog.