This smells like a UDP port issue..
Inabilty to get a chatroom list would tend to confirm this too, worth trying to get one, even if you never chat, just as a test.
Is your firewallconfigured to allow ?
If you're behind a Router (& some cable/dsl modems) is this set to forward TCP & UDP ports for WinMX?
The quick way to test if it's your firewall is to try with it breifly disabled, if it works then, you know where the problem is.
Sometimes specifying non standard ports fixes this too, adding either a 1 or 2 in front of the standard port numbers (making them 5 digit) is the favourite dodge, although this cure tends to apply only in specific cases with specific Internet providers.. & if you try remember to modify any port forwarding or specific firewall rules to match the new configuration. You will need to restart WinMX for these changes to take effect.
Hope this is some help