Are your incompletes in the folder where WinMX is looking for them?
Library and Incomings folders are not always the same...
Say your incompletes are stored in C:/A Folder you must tell winmx that that is where they are...
In WinMX Settings, File Transfers, at the top, it tells you where it will put incoming files, and where it will look for your incompletes, is it set to C:\A Folder ? (or whatever folder you are actually using)
If you are using Windows Vista, MX will be looking for C:\My Documents\My Music, but vista does away with the 'My' in the folder names, which wont help either
Why not pop into the Help room WinMXWorld.com Help_AE182F4EBABE for some live help to sort the problem?