Hummm... sounds like the portforwarding may need some improvment..
Tell me what model number of modem you have and name so that I can look up those instructions also.
This could be a problem with your ISP filtering or Shaping ports.. its common that other p2p systems work fine and WinMx works irradically or not at all for . It also could be the port situation.
So lets just start at the begining of this .. that would be making sure the router/dsl modem is correct. Even tho your the only computer on the system this router allows for more so has to be treated like a LAN set up.
Then we need to make sure your firewall has WinMx allowed through, with most its a matter of adding Winmx to a allowed list of programs, for an XP firewall you also have to add ports.
What firewalls do you use, have you checked if the XP one is on or off now?
Norton can also through curves in, so if you have Norton 2005 or 2006 we need to know that also.
Who is your ISP ? Your port choices are ok, if nothing conflicts.. although if your ISP is shaping port use for Winmx .. sometimes port changes can help and sometimes not..
A few succesful ones are these:
1720
3339
39
120
80
443
1034
58202
62202
this list goes on and on... first lets make sure the settings are all correct, then we can attempt to make changes with the numbers if its still not working.