Cox are notorious for blocking WinMX, in some cases changing to non-standard ports can help, a friend of mine (cox customer) had some success using TCP 1547 (laplink) & UDP 5631 (pc-anywhere)... of course you need not to be using either of those programs..
Failing that, it's TCP which they interfere with, so setting WinMX as unable to receive on TCP & making a secondary connection may help..
In some areas they're filtering (I hear) outgoing traffic based on packet header, & dropping connections for winmx traffic.. at least to non-cox customers.. if that's what's going on, & the above doesn't help, I'm afraid the only answer is a change of provider.