Hello,
WinMX will work without need for setting up ports on your router/firewall, it tells you how to when you install winmx..
Firstly, Open your winmx
Go to settings
Click on outgoing TCP connections
tick the box that says Unable to accept incomming TCP connections,
then click on In/Out UDP packets
Again, tick the box that says unable to send or recive UDP packets
Click close, exit then restart your winmx, also check that on the startup screen
under where it says network identity it says connection type,
make sure "Make a secondary connection to the network" is selected,
then attepmt to download a file
I am 99% cirtain this will work, if not come back and we'll try to help in more debth
Thanks
james