Hi Jolo, you seem a little confused about connecting to WinMx I see.
When you log onto the internet using dsl its pretty similar to using dial up you click on the service providers icon as you didito use your Internet Explorer , and thats it your connected to the network until you click disconnect on the little icon in the task bar (Where the clock is ).
You can start your WinMx up anytime after starting your connection.
Its as simple as that
