I'm going to assume that you have downloaded and installed WinMX. Go ahead and open up WinMX.
Close to the top of your screen you should see a Setings button. Go ahead and click it now.
Click the plus sign in front of Internet Connection. You should now see a new list drop down under Internet Connection. In this new list click on Incoming TCP Connections.
We want to select the Listen on port radio button. The default TCP port should be in the box on that line. You can change the port to whatever port number you want, or just leave it set to it's default setting. The important thing to remember is that this is a port you will have to forward from your router to your computer's IP address. So write down the port number in that box, and that it will be using the TCP protocol. Now in the left hand menu under Internet connections click the In/Out UDP Packets link.
The Send and Receive UDP datagrams on port radio button should be dotted. Once again the box on that line should have a port number in it. You can modify this port number to whatever you want, or leave it set at it's default setting. The important thing to remember is that you will have to forward this port from your router to your computer. It is also important to note that this port will be using the UDP protocol.
When you are done with those settings click the Close button at the bottom of the page. Then goto our Forwarding page to forward those ports through your router.
That is it! You are done!