Ok, the only thing that may help, as you are on windows 98,
you should have a HOSTS file, the default path for it in windows 98 is
you should see an ip in there, looks like
now here you can add UNDER that IP, the winmx IP : 22.214.171.124 www.winmx.com
so it looks like
then see if WinMX connects
just a thought, if you are using PeerGaurdian, this maybe why you cant connect, as it actively blocks the WinMXWorld caches.