When you fire up winmx go to the Network page and select Disconnect, this will allow you to remove the items that are accidently shared and you can do so in the following manner.
Go to Shared files or Library in the top left of the program and click on the folder that you do not wish to share and either right click on the folder to select unshare (or remove) or use the little button on that page that says unshare folder, and select it from a list there.
Sorry that may be a little confusing but theres a few different versions out there and I was just trying to cover them all.
Once your happy just press refresh on the Shared files/Library page and then press Connect and all should be fine.
The reason many folders are shared in the first place is folks accidently press the Scan for Media button and it searches your machine for anything and everything, unfortunately annoying for all concerned I think.