You will need to configure your router to allow incoming TCP connections.
Go to
https://www.winmxworld.com/tutorials/routers_info.html for more information.
If you can't figure out how to configure your router, Go to "Incoming TCP Connections" in the WinMX settings, and select "Unable to accept incoming TCP connections". Do the same for "In/Out UDP Packets", select "unable to send or receive UDP datagrams on any port" and restart WinMX.
But I really recommend you to configure your router, as this will give you much better speeds while using WinMX.
