In order to get WinMX to work correctly (transfers of files up or down) its vital that you get a pay proxy service. Most of the free ones WinMX will not work correctly with. A SOCKS4 or SOCKS5 proxy is required and once you pay for this service you will then get the information you need to put into WinMX Settings > Outgoing TCP.
Now that said, here is the issue, frankly your activitiy is fairly annonymous to most, WinMX is a decentralized network therefore the information although avaialble to find (your ip, then lookups can give the ISP etc.) this is only accessible for those your actually transfering files with. Your ISP however will still be able to gain the information of the data that is transfering and most of them don't care what content your transfering as much as they care how much bandwidth your using to do it, which will still be the case even under a proxy.
So all in all in general its not really a feasible plan to use a proxy with WinMX. Hope this helps any more questions post back