Can I suggest you try the following routine and work your way through it Nad ?
First go to portforward.com and look for your router and manually forward the ports in it and at the same time follow the instructions to make your IP static (as if it changes you will encounter problems such as the type you describe), then go to the location you have placed your copy of WinMX and the community patch into (normally "program files\winmx\" and look for a file called "oledlg.ini", this file can be opened with Notepad and if you look down the list you will see an entry called "/enableupnp 1", it may help if you try setting this to off like so "/enableupnp 0", this will turn off the automatic UPNP feature and in some cases can also help. Remeber if you change your ports for any reason that you will need to forward them again in the router.
You may need to remove all existing firewall entries for WinMX and wait till your computer asks you what to do as often this can be a problem also.
Please try rebooting after making all of the changes above and try WinMX again before heading straight back here
Let us know how you get on Nad and hopefully we can help resolve this problem for you if this advice fails to do so,