Hi Tedster,
The Beta should install one time and allow you to make your settings, then you should be able to use it normally after this..
Do me a favor and run the beta again.. then after you have your settigns set this time to your liking simply delete the shortcuts you have already, desktop, start menu.
Now right click on your start menu, then choose 'Explore'
Now go through the tree of Folder until you get to your 'C:\Program Files\WinMX' folder and locate your 'WinMX.exe' file inside this folder.
Now right click on this and choose 'Send to...' then choose 'Desktop create short cut.'
Then from now on use this short cut to access WinMX, and your settings should be intact.
Let me know if you continue to have troubles...