In all previous versions of Windows the folders were labelled "My Documents" "My Pictures" and important here "My Music"
With the release of Vista the folder names were changed to "Documents" "Music" ect ect.
Open your winmx settings.
Select File transfers in the pane on the left.
At the top it says Incoming File Folder and there is a buttom that says "Change.."
Click change and you are presented with a file tree. the very top entry should say Desktop and the one below that should say Documents.
The Documents folder has a little triangle next to it to expand the folder.
Expand the Folder and you will see the music folder.
Select this folder and click ok.
Congrats you are done.
Why the problem exiists-
As mentioned before the names of the documents folder and its sub folder has had the word "my" stripped from them.
since the new kernel in VIsta has adapted concepts from POSIX compliant systems, it is able to create a symbolic link (I.E. you save something to folder A but it goes to folder D) but in addition to symbolic links it has acquired a better action permissions system (Read write ect ect)
Modifying data Through a symbolic link is seen as a secuirty breach and the system blocks it from happening (why your files continue to say incomplete)
and accessing a folder through two symbolic links is seen as an attempt to access core files *whether this is stopped by the Malicious software tool or by the kernel itself i am unsure of but it happens and thats what matters) and this is why you are unable to open the folder from winmx before the issue is resolved.
But please note that administrative rights do not need to be changed.
Everything that is stored under a folder for a user (documents and its sub folders) belong to that user.
That user can do whatever he/she wants with it read write modify delete copy paste ect ect.