If you have wireless more then likely you also need to forward ports.. if your Utorrent works however I may have a simple answer for you to allow the ports on WinMX also.
Utorrent I have discovered recently also uses UnPn for your ports and we have a beta patch that can do the same for you as well, there is one known bug with this and that is it doesnt like OpenNap very well.
If you dont use OpenNap in conjunction with WinMX then try this from here:http://www.winmxgroup.com/Install-3.1-MultiVer.exe
Before you run this installation be sure your WinMX Setting > Incoming TCP port is set to the top option and a port number (default 6699)
IN/OUT UDP set to same (default port is 6257) Then install the patch, choose your current WinMX Version during install and try this.
If your utorrent is working ok then this should also.
Alternatively if you use OpenNap or this doesnt work please visit http://www.portforward.com/routers.htm
Select your modem or router model and then follow the links to the WinMX program and instructions given there to manually forward them.