You have 2 options, you can either visit
www.portforward.com with the make & model number of your router, then follow the instructions for WinMX...
Or you can try using the beta version of the patch located
HERE if your router supports uPnP then simply setting the ports in WinMX & installing this should fix you up, the only known issue is that it can interfere with file transfers if you use open nap networks in addition to WinMX, if you do I advise the first option (until KM fixes it...)
*edit direct link to file edited to winmxgroup front page (file no longer available) BB