Jaf what is is that your wanting to do from work? If its downloading content then if you are on a large corporate network then you will no doubt have Admin their who will try their best to disrupt you downloading, even possibly costing you your job. But if you are on a small network, and arent bothered about people knowing you are downloading stuff then by all means install winmx their, but make sure whoever owns the line has some sort of idea and the internet package isnt a bandwidth restricted network. At the end of the day you dont want your works internet getting cut off for going over any limits lol.
As for the error, just choose on install you are unable to receive on ports 6699 and 6257 ports and everything should work perfectly fine.
