Sorry for the delayed response I don't heck the forums very often.
Which VPN client are you using? And if you're using one on your Router, which router is it and which VPN client does the router include? - Also what kind of VPN connection are you making (OpenVPN, PPTP etc). And finally does your VPN provider support port forwarding? - Also keep in mind if you use port forwarding but connect to the VPN server from multiple computers it won't work as their server needs to know which client to forward the port to. So for example if you have a mobile phone using the same VPN server as your Desktop/Laptop where you're running WinMX the port forwarding will fail. All the devices need to be on separate servers or use your router as the only VPN client.
This VPN stuff can be quite complicated especially when you want to forward ports, connect multiple devices, maybe use a router for it and so on. I've subscribed to this topic so I will get an email when you reply and I'll check back at that time.