This might be because the user(s) you are trying to download from are sharing large files, and have a slow connection, or too few upload slots. If you download from users with available slots, do the file transfers start?
If they do, I think you just need some patience, and the transfers will start some day
Make sure you set the auto-find sources and auto-enter queue settings right.
In the transfers window, right click the file you are downloading, and set Auto Find Sources to "Every 10 min" and Auto Enter Queue to 100. This will make your WinMX search for alternate users more frequent, and enter larger queues.
Also try keeping your WinMX running for as long as possible at once. Sad if you're like number 2 in the queue, and close WinMX. you'll have to wait all over again :\
When I'm going to download large or rare files, I just jump into the queue, and leave WinMX running until the file is finished. Good luck.