Winmx connects to the peercaches and the primaries with some standard protocols. So basicially, they have programs that will scan for those bit's of data and then it will block the program.
It won't happen with msn as it's not p2p. as simple as that.
Only by changing the protocol can the filters be dodged, but since the authors of winmx have not released it's source code and have stopped it's development, that option is ruled out.
Cheers