Ok, the only thing that may help, as you are on windows 98,
you should have a HOSTS file, the default path for it in windows 98 is
C:\WINDOWS
you should see an ip in there, looks like
127.0.0.1 localhost
now here you can add UNDER that IP, the winmx IP : 209.150.84.198
www.winmx.comso it looks like
127.0.0.1 localhost
209.150.84.198 www.winmx.com
then see if WinMX connects
just a thought, if you are using PeerGaurdian, this maybe why you cant connect, as it actively blocks the WinMXWorld caches.