Hi Stretch,
This as you say is not normal for your system to be 'Thinking' the entire time WinMX is running. So if this is happening more then a few maybe 5 at the very most minutes after you start WinMX up, I would suggest you do some scans on the machine.
https://www.winmxworld.com/tutorials/anti_virus_info.htmlHave a look at this page, my first suggestion is to run the Adaware and the Spybot Search & Destroy, both listed with links for download on that page.
Then I would run my Antivirus that I had installed on the pc.
Just to be safe XP has a wonderful built in System File Scan that can check for damaged system files, the instructions are also on that page.
Its also not a bad idea to run one of the Online Free Virus scans since some things can hide from you installed antivirus programs.
Last but not least I think the instructions for checking your Task Manager while WinMX is running is a great idea to make sure nothing else is running along with it, that shouldnt be.
Let me know if you have any questions about this, I realize its alot of info,.