You correct this by chosing another folder to save your downloads in.
WinMx is only able to handle a certain number of characters so if you download to something like
"C:\My Documents and Settings\YourName\My Documents\My Downloads\Some other Subfolder\Your Downloads here\Maybe Some Terribly Long File Name"
then winmx can't handle that.
Just make a short folder like C:\Downloads and it will be just fine.