Are you hosting a room on WinMX?
If not then there is no reason for you to have a primary connection, and its ok that WinMX cant find your TCP or UDP.
Go to the networks page and make sure the little circle that says 'Make a Secondary connection to WinMX' is the one ticked.
Then go to Settings > Internet Connections > Incoming TCP, make sure the box that says 'Unable to get TCP connection' is the one ticked.
Then go to Settings > Internet Connections > In/Out UDP Packets, make sure the one ticked says 'Unable to get a UDP connection'.
That should get you almost 100%...
Let me know how that goes.. if that doesnt work we are going POSTAL on it.. lol