You are using no ports wiht winmx then, look at settings > internet connection > incoming tcp and in/out udp packets.
You have both these set to "unable to accept...."
It's called "firewalled" because it needs no ports open. It's a passive modus, which means you can't connect to anyone else using the same settings.
Basically both of you are waiting for the other to initiate the transfer, which can never happen.
If you can't use any ports because you're behind a firewall or can't forward through your router it's a good thing to have and not being able to connect to others with the same settings is a small price to pay.
It should be limited to those users though, because if too many people are using it you can see what would happen...
Make sure you have the xp firewall disabled or have allowed the ports for winmx, try having a look at our tutorials for setting up winmx with firewalls and/or look at
http://www.portforward.com for help with setting up your router to work with winmx.
