There are several possibilities.
WinMx itself provides the funtionality of hosting a room, see our tutorial here: https://www.winmxorld.com/tutorials/winmx_hosting.html
There are several stand-alone chatservers also, meaning they are separate programs you can run to host a chatroom.
You will find out more if you go to the tutorial section under "Chatserver Index of Guides".
In there you can find out about the different chatservers and how they work and should be set up.
If you have any specific questions about any of them please post back and let us know