It is the same with all chat clients. And any form of IRC. If you send/receive files with someone else, it sets up a direct connection and your IP can be found.

What do you mean by external firewall? Do you have a router with a firewall on it? And that is how you connect to the internet? If thats so, then they see the IP address of your firewall.

The only one that might not do this (that I know of) is Yahoo IM, because that sends the file to one of yahoo's servers for the person to download. But that also gives yahoo copies of any files that you are tryign to send...