To know if your connection is on a firewall go to Start->Control Panel->Network and Internet Connections->Network Connections then right clicking on your cable connection -> Properties->Advanced and under Internet Connection Firewall, see if it's checked... If so you have to possibilities to make your WinMX work.
1-Disable your firewall by unchecking the mark.
2-Probably the better one because you don't want to loose at least a little protection with the firewall.
-First, go in WinMX and do this :
This can be found by going into the WinMX connection settings, and clicking the "Network / Proxy Settings" button (figure 1). The port # you need to map will appear below where it says "Incoming Connections" (figure 2). - found on WinMX's
site.
-Now that you have the port number that WinMX is using, return to the Windows Firewall Properties.
-When Internet Connection Firewall is enabled, the button "Settings" is activated.
-Click on it.
-Click on ADD
-In the "Description of service : " Type the name you want. (ex.: WinMX connection)
-In the "Name or IP of the computer.... blablabla" Enter the name of the computer or the IP.
-In the "External Port : " Enter the port that WinMX is using.
-In the "Internal Port :" Enter the same port as in External Port.
-Click OK.
-Make sure that this service is checked...
-Click OK then OK...
-Should be working now...
See ya!