When you get to the connection test and you ask to set it manually you will see a place to put a Tick into :
Listen on port .......... for TCP
Put the number 6699
Also Tick on Send and receive on ......... for UDP
Put the number 6257 here.
If during the actual set up you dont get this option thats ok.. just let it install telling it you will set up ports manually, then when you open WinMX go to Settings > Internet connections > Incoming TCP and set as above..
also do this for IN/OUT UDP as above..
Then install the Patch w2_32.dll into WinMX and restart the program...