Is this a new problem for you and winmx has been working fine previously or is this a new installation of winmx?
The most common problems we come across are issues with
Port Forwarding in the router - portforward.com is usually pretty helpful with that
Firewall Issues - usually if you clear winmx from the firewall settings and reallow it seems to clear up, remember allow incoming AND outgoing connections
Patch Issues - Either a less effective patch or no patch at all, if winmx does not say 'thanks eagle' up the top I'd suggest reinstalling from http://patch.winmxconex.com
Drop back a note about if this is a new problem with an existing install or a completely new installation and some more info about the version, patch version and network setup (eg simple network 1 router & 1 computer or something more complex eg modem switch multiple computers...) and I'm sure we can help you sort it out.