Are you downloading into C:\documents and settings\username\my documents\my music\ ??
A long path I didn't enjoy typing.. if so there is a limit to how long this can be before you get too long for the prgram, especially if the file has a long name too.
Here's what I suggest, open your C drive right click & make a new folder there, called say MX, then go to your winmx settings & change the incoming files folder to this new place (which has a very short path).
If you have got incompletes you can move them to this new folder with no problems, just cut & paste, when you first start up they won't show in the transfers window, just hit the "load Incomplete" button & they should then reappear.