winmx is a free file sharing application, you are not downloading files from a vast array of expensive servers on fast expensive connections, you are downloading from other users home connections.
20 minutes to get a song isn't bad, it depends on the song of course, some will download straight away at the speed of an average home connection, others will go faster if they download from multiple users, others slower if there are queues or the other user has a slow connection or whatever - however remember you are getting files from other users for free, do not expect the same as if you download something from expensive servers with expensive servers