I've noticed (or, better, suffered) that sometimes when I receive files with kopete, they are received, saved in any folder, but aren't viewable: seem to be corrupted. This happens both with version 0.11.1 (from the kubuntu package) and/or version 0.11.91 (compiled by myself from source code).
I'd suggest you report this issue to http://bugs.kde.org (with as much information as possible). The Kopete developers might pick it up for the next release.
If this is for MSN, it's already fixed in most cases for the upcoming 0.12 beta 1 release, which should be announced today (as soon as i write the announcement basically). If you try the beta and it still doesn't work, please file a bug at bugs.kde.org and provide as much information as possible (other person's client, protocol it happens on, debug output, etc.) so that we have a better chance of fixing the bug.