This sounds more like a windows "Permissions" issue have you searched the site here for win7 and vista fixes as that sounds like what your describing, basically ensure you don't use the default folder for" incoming files" that winmx assigns as this wont work properly on the new operating systems, create a file called "Downloads" or something in the root (c:) drive and set winmx in settings to point to this new folder and that should fix the issue.