It should work, but, you do need to have your modem/router set properly to forward ports, winmx set to use the forwarded ports. your firewall configured correctly to allow winmx, & Norton AV (if installed) set to allow winmx in internet worm protection.
There is an alternate setup which gets browse search etc. working which is to set winmx as unable to use tcp & udp ports, the disadvantage is, if you encounter someone setup the same way, you can't download from them, & they can't from you, so i don't encourage using that setup.. if everyone did.. there would be no sharing....