There is two ways of doing so.
1 ) use the default directory winmx provides and put movies in the folder. Your default folder you can find by clicking on settings in winmx ,then File Transfers . The top of the window where it shows folder is your default folder. First place movies in there then click on library or shared files. then add them to your library making sure you refresh after you add them to make sure they load.
An easy way to find out if they loaded into your shares is to enter a chatroom and right click on yourself and browse. you will see everything your sharing that way.
2) make a folder on your drive then add movies to it. Then go to settings / File Transfers / then browse to that folder and add folder to your library /then refresh.
Hope this helps