Please give some more info like:
are you behind a router (it needs port forwarding) see portforward.com
is winmx allowed to go through your firewall yet? (check the tutorials section.. top page here)
are you on a secondary or a primary connection? (check this behind the network button ..left top)..and if you are on primary have you tried switching to secondary?
and one more thing are you using the special vista patch? there is a special vista section lower on this forum?
hope this helped a bit
and welcome to WinMX