When you select something to download from another user, then you go into their queue. From there you sit until you get to the top and start downloading. Some users are selective of who they upload to based on what you share. If you are trying to download a movie and you have nothing shared, then the user may choose to download to another user instead who is sharing movies. This is a personal choice from user to user. I have always found it is best to try download things similar to what you have shared. I have mainly gotten kids games and kids movies over the years, and that is mainly what I share.
If you have movies shared and are trying to get more, then sometimes it is worth sending a PM to the user asking them if you have anything they want, and then you can download from each other. This gets close to what is calssed as TRADING, which is not really what P2P programs such as WinMX are designed for, but in reality that is what happens a lot.
Maybe check out a few movie chat rooms as well.
Im sure other people here will have other suggestions.