That message appears because you both have winmx set in "passive" (firewalled) mode, no ports set, you need to sort your port forwarding out, & ideally so do they.
The normal approach is to visit www.portforward.com
, with the make & model of your router (often incorporated in your modem) & after hitting the link for that, pick winmx off the list of programs, it's (usually) straightforward but somewhat time consuming.
An alternative would be to try installing the new beta patch, setting winmx to use the default ports in settings & restarting it, in most cases with the beta patch it should sort the problem out.
You can read about and download the beta Here