Firstly make sure you're not trying to use both a hosts file and the .dll patch at the same time, this is known to cause instability & other problems.
It's sometimes worth setting WinMX as unable to recieve on both TCP & UDP as a test restarting it & seeing if it then connects.. this would point to a firewall/router issue.
It's also worth checking if you use Norton AV 2005 or later that WinMX is set to allow in internet worm protection.
If you decide to try Pie 2.6 a basic check that it's actually installed correctly is to open a command prompt & type
ping
www.winmx.comIf you get replies from 205.238.40.1 then the patch is installed correctly & the issue is elsewhere.
Sorry I'm unaware of a basic test for the .dll patch working, generally it just does, light goes green on networks page in winmx..
If this happens in case of EITHER patch, the patch is working & your issue is definately firewall/router related.