Hi Missed,
That is a vista issue and there are two things we recommend you do.
One is to make a new folder for your Incoming Files, place this on the C Drive like 'C:\New Files' or what ever you name it, then go into WinMX > Settings > File Transfers up near the top right, click Change Incoming Files Folder location and browse to your new folder.
The second thing to do is give your WinMX administrative rights, there is a post that shows you how step by step.
https://forum.winmxworld.com/index.php?topic=4804.0.htmlHope this helps ya, if not post back.