When you select a file just double click on the link ,there is no need to save it.
Once this is done you should look in the transfers window in winmx and hopefully be able to see a file name in
red,
yellow or
green, depending on whether the file is on the network or not.
Failure to see the file listed in your transfers window is usually an indication of the tool not being installed properly.
You can of course cut and paste the hash information directly from the site without using the tool, then do a normal winmx search for it.
Let me know how you get on