Because executables, macros, shell scraps, (alleged) screensavers are all prime candidates for virus infection. Because the Hotmail folks know this, and also know that a large proportion of their users are going to be the sort to say either "virus scanner? Wot dat den?" or "Well I don't have a virus scanner and I'VE never had a problem..."(to which the appropriate answer is "No, ducky,
you haven't, you're just one of the plague rats that makes life hard for the rest of us"), they block those sorts of file types completely. I don't know whether you use your web browser to access Hotmail, or whether you use Outlook Express - if the latter, THAT would have blocked it too. May I suggest that you get the sender to send again as a zip file, see if that goes through?
BTW, I'd have thought 7.08MB was pretty large for Hotmail unless you're on the Premium service?