If you use the old windows live, sharing folders is the way to go. It automatically syncs, and the files are saved to your hard drive, so you can access them anytime.
If you use the new messenger, you can use windows live sync. You need to have the same login details at all the computers, but it isn't linked to messenger. So you can make a hotmail account, share the username and password with your buddies, and you're good to go.