Hi Bren,
The first thing I would do is make sure that if your running a firewall (and dont forget to check your XP one if your on Windows XP) is allowing WinMX, its a good idea sometimes to remove WinMX from firewall rules and then restart it allowing your Firewall to ask you again for permissions.
If your running other software firewalls check that XP one is not one. They are bad about restarting themselves especially if you have done any Microsoft updates lately.
Post back and let us know.