That version you have will operate correctly with win.9x systems so could it be something as simple as you not closing WinMX down before trying to install into the WinMX folder ?
Another issues to watch out for is the firewall blocking connection to the new caches, sometimes removing the entry from the firewall and allowing it to ask again is the simplest way around the problem.
Thousands of users are connected fine so just take your time, it will all work once its set up ok and you can rejoin the community