go to
Settings > Internet connection > Incoming TCPmake sure you have it set to
listen on port 6699 for incoming TCP connections (default, can be another port)
next go to
Settings > Internet connection > IN/OUT UDP Packetsset to
Send and receive UDP datagrams on port 6257 (also default which can be changed if needed)
Now make sure the above ports (6699, 6257) are open for winmx, i.e. configure any firewall to let them through (if you have xp sp2 make sure the xp firewall is configured, you can disable it for trying if needed), also if you have a router configure it to let through these ports.
Now
restart winmx - should connect, if not let us know