Windows 2000 has no built in firewall, so as long as you alow winmx in the firewall you install (i recommend you run one) this should be OK
It's worth noting if you run Norton AntiVirus 2005 or later WinMX must be set to allowed in internet worm protection, this will otherwise block you.
If this isn't the issue try changing the port numbers in winmx settings & restarting the program, it tends only to be the default ports that get blocked by an ISP in most cases, so changing TCP 6699 to say 26699 & UDP from 6257 to 26257 may resolve it if it's an ISP block.
Peer Guardian 2 CAN be used to monitor allowed connections into your pc, installing this as outlined here
https://www.winmxworld.com/tutorials/block_the_riaa.htmlbut turning on logging of allowed connections while you observe what is or isn't getting through, may yeild useful information on what TCP & UDP connections are getting through.