If you have a router, go to
www.portforward.com/routers.htm and see your router model there.
A tutorial on how to forward ports in winmx will be given there.
Default ports are:
TCP 6699
and
UDP 6257
After you have done that, go to winmx>settings>Incoming TCp> and select the listen to ... port ... blah blah.
Put the port number of your TCP port there.
Do the same thing for winmx>Settings>UDP conenctions and select the option and enter your port number there.
Cheers