There are two known issues with WinMX and Vista.
One is the Transfers not loading on restart, the second is the issue with them not showing as complete after they are definatly complete.
To fix the first issue
Go to My Computer > Then go to the main drive (usually this is C Drive) Here make a folder and call it what ever you like, for example 'My Downloads' or just 'Downloads'.
Now you will need to open your old folder where WinMX was previously storing your Incomplete files, usually in 'My Documents > Music'
(Alternatively you can also go to the Transfers screen now and click the button that says 'Open Incoming Files Folder', if your unsure where its located)
Copy all your files from this folder into the new folder you made at My Computer > C Drive > 'Downloads' (or the name you gave it).
Now open WinMX > Settings > File Transfers, at the top right side you will see 'Incoming Files Folder' Click on the 'change' button now and browse to the new folder you made (example C:\Downloads).
Once your incompletes are in this folder, you'll be able to use the 'Load Incompletes' button located on the 'Transfers Screen' to Load them, keep in mind however that they will all need to have the 'Auto Enter Que' and 'Auto Find Sources' levels set (AEQ - 100 and AFS - 10min) in order for WinMX to 'know' to load them on the restart.
The second known issue is that annoying Incomplete tag left when you know for a fact that these files are complete. What is happening is Vista is not allowing WinMX to change the name appropriately, the cure is to give both WinMX folder in C:\Program Files\WinMX & your new Incoming Files Folder (example C:\Downloads) administrative rights.
Here is a guide for that with Vista follow the same procedure for both folders.http://forum.winmxworld.com/index.php/topic,4804.0.html
As for deleting the file completely from the WinMX Screen that maybe solved by giving admin rights to the WinMX folder (be sure to give those to both folders) but I can't swear to that as this is not a problem that I've encountered on the site, but it makes sense that having admins rights will allow the files to be deleted from the WinMX Screen, so let me know about that one too