your winmx transfers are already *reasonably* secure using a normal connection, i'm assuming what you're referring to is some sort of proxy used to hide browsing as such things generally are, while a SOCKS 4 or 5 proxy *can* be used with winmx to hide your IP there are considerable disadvantages...
Performance sucks.. particularly with "free" proxies (be very careful with free online proxy lists.. some set up such open proxies *just* to monitor the traffic that then uses them)
Filtering of fake search results becomes inoperative & you get all the fakes again
there are other less significant problems too...
