When using
Zone Alarm, start WinMX and you will see an alert box pop up on your desktop with "
New Program Is Trying To Access The Internet"
Check the small box "
Remember This Setting" and click "
Allow" button.

You will see another alert box pop up with "
Suspicious Behavior" and either "
A Program Is Trying To Access The Internet" or "
A Program Is Trying To Act As A Server"
this depends if you have the latest free or professional version, either way check the small box "
Remember This Setting" and click "
Allow" button.

Opening
Zone Alarm and clicking "
Program Control" on the left menu, then "
Programs" tab uptop, this will show a list of programs that have access accepted or denied,
look down the list for your WinMX entry and make sure all the boxes in the "
Access" "
Server" & "
Send Mail" sections have "
Allowed Access" (green tick) or WinMX won't function correctly.

If you have a section "
Trust Level" you should set that to "
Trust" (green bars) or Zone Alarm will pop up the "
Access Accept or Deny" box
every time you start WinMX or start a download or upload.

Thanks to
Max for this information and tutorial on Zone Alarm and WinMX.