It is possible for someone with a http/tcp sniffer to detect what your downloading, they may not however be able to show its winmx that initiated the transfer as every other part of the client has encryption built into the system, so if your going to use WinMX can I suggest you steer clear of copyrighted top 40 style material, the only secure methods to swap files are those that feature anonymity and are often slow and feature a massively reduced choice of music and users, networks such as Waste, Ants and some others that are better not named for now.
On a personal note I would suggest you borrow music from friends to listen to if your concerned with getting into trouble but if your ready to move past the recording industries scare tactics please take note that they can only sue people for UPloading ( offering a file to others ), no one has ever been sued for Downloading to my knowledge as its not an offence to download for your own personal use.
