See if you can find a configuration for this security program (such as on the start menu, or in the tray), it should let you allow WinMX through the firewall. If you can't figure it out, I have another solution:
Open your WinMX settings, go to "Incoming TCP Connections", and select the lower option "Unable to accept incoming TCP connections"
Then do the same for "In/Out UDP Packets", set it to "Unable to send or receive UDP datagrams on any port"
These settings should work with most network configurations, but you should know that you can't download from other users with the same settings, so you may not get as good download speeds as before, but it's still better than nothing.
I hope this helps you