You have to "import" the file into the opennap side of the WinMX client , go to the "Networks" page and look at the two large buttons across the top one marked "Openap networks" and the other "WinMX peer networks", press the one that says "Opennap networks" and the screen will change to a blank one with some buttons above, go to the button marked "Import wsx" and browse for the file you have, the blank screen should now populate with some opennap servers click on one or two of theses and then either press the button up top marked "connect" or right click and select the same, yo should now see those you have selected turn green and you can go to the search side to look for some files as normal, just below the search boxes( lower left corner) theres a little drop down box make sure it is set to search the opennap server your connected to before pressing the search button.
I think its all in here
http://www.winmxworld.com/tutorials/opennap.html