I have used winmx for a very long time, and in fact run the program from anywhere but the default location in "program files/winmx", the desktop, different drives, on the root, in the same folder as my incoming files, etc. etc. and never had a problem with the setting becoming corrupted from 'normal' usage.
I have suffered corruption to the settings file, in the event of power failure (unfortunately too common, where I live) but never from normal usage.. corruption can result from improper shutdown, system lock-ups. a drive which has errors (easily corrected by chkdsk /f) resulting in delayed writes, or maybe even a system tweak tool which decreases the time windows takes to shutdown..
settings.dat & lib4.dat are well worth keeping a copy as suggested by GhostShip in a zipped file in the folder winmx lives in, in the event anything should go wrong when you open winmx and find your settings are gone, simply close winmx, extract the "good' settings files from your zipped file over writing the ones in the folder and re-opening winmx, everything should then be as it was..
now another tip which may cause problems is having winmx's incoming file folder with a long name..
IE. C:\Documents and Settings\My Fantastic Computer\My Documents\WinMX\Incoming Files
can be a bad thing for several reasons, so to avoid the problems this causes have the incoming folder path as short as possible
A final thought.. you mentioned "need something to run by itself"
always exit WinMx from tray icon and not the task manager as exiting the program from there could also be a possible cause of setting loss too...
I hope this clarifies the available advise on this topic