The folder where MSN Messenger by default puts all the files people send to you. This means that in social (although not in legal) circumstances, you have very little responsibility for what you have there.
As long as you leave the MP3 files people send you in 'My Received Files', instead of moving them over to you MP3 folder, you will in most circumstances not be obliged to justify their existence before any of your friends who are snooping around on your computer. Having complete albums or many X-rated pictures in your 'My Received Files' folder is however something that you must accept responsibility for. However, nobody can blame you for having Hamster dance lying around there.
If you have a ftp server you might have a limited access upload folder. Here you can keep whatever you want, claiming that some friend of yours with too much spare bandwidth and bad taste has put it there without you knowing.
But, to repeat, this will not hold in court, only when your girlfriend/boyfriend is snooping around in your files and asking questions.