yes u prolly need to open the correct ports. To open ports just put 192.168.0.254 (this maybe different depending on manufacturer, check urs from the router manual) to ur internet browser and press enter. Then go to firewall setting and port configuration. Or something similar.
Then find the ports that winmx uses (just google for winmx faq or winmx ports or something like that) and then change it so that the router allowes data transfers from those ports and it should work.
ohh and if David or the mods don't like this post because winmx CAN be used to do illegal stuff then please remove this post.