ok when you uninstalled the previous one, did you totally uninstall and delete its folder and start a fresh? or install over the top?
the reason i ask is, obviously there was a problem with the one you had, installing over the top means the error may still be there,
i would also delete the rule in zone alarm, and re-accept new rule when you start winmx.
also, have you done a windows update recently? i have known windows update to re-activate your windows built-in firewall, this is a nuisance,
you already stated you have zone alarm, so you wont need the windows one,
after reinstalling and checking your windows firewall & winmx is stull using alot of cpu,
if you open the windows task manager (ctrl+alt+delete) and in processes tab you can see what program is using all your cpu,
there is a comon windows debug program that stops you using programs as well as preventing you from opening folders,
its called Dr. Watson, in task manager it shows as drwtsn.exe if that is running, it will use cpu trying to debug winmx for no reason, you can shut that down as it wont cause problems, then see if your cpu usage drops.
hope this helps...