We advise everybody to run their machines with some kind of firewall, as there are many computer nasties that can take advantage of not doing so, if my memory serves me correctly though you have one built into Norton 2005 labled as "Worm protection" that has caused folks problems before as many do not know its there, perhaps if you have a peek through and make sure WinMX is on the allow list of applications.
How is the chat room listing, can you get that ok ?
For those without a proper firewall:
I would advise anyone to use the free sygate firewall version that many of the winmx users swear by, being free as well as simple to operate.
http://smb.sygate.com/products/spf/spf_ov.htm