Well, if you aren't using the winmx install from winmxgroup.com I would suggest start there...
Once you have that installed if you are having the same issue, make sure peer guardian is not on, and that any firewall you have has access given to WinMX...
If you need any help with this please come to the help room (you don't need to have winmx connecting to get to the room, just copy and paste this roomname into the filter bar on the chat tab, and hit the join button)
WinMXWorld.com Help_A06F7657BABE
Someone will be there happy to help out
Be Good!
Scyre