It appears that a firewall is blocking winmx. Go to your firewall and put winmx on the allow list.
Check if your router has a firewall, if it has one, then disable that as well
Third: The normal winmx patch (one for XP) has issues with vista... check if it works alright. If you have problems like disconnecting, etc, then do this :
For everyone with vista and problems:
1.> Close winmx. (if it is running)
2.> Go to your winmx folder and delete a file called OLEDLG.DLL.
3.> Now download the file on this link:
https://forum.winmxworld.com/index.php?action=dlattach;topic=4360.0;attach=1400
and put it in the folder in which the winmx.exe file is there
4.> If some connections problems occur, remove the firewall rules of winmx and re add them.
5.> Restart winmx and try connections on primary and secondary.
Cheers 
Also check if you have forwarded ports. Ports will be the problem if you have no search results, no uploads or download, but winmx will connect.
Cheers
