WinMX is plagued with spyware if you trust it or not. I personally would use a different p2p client like Shareaza or Bearshare. Shareaza is 100% spyware free, that's been tested, and has a large community for support so I'd recommend them myself.

I don't suppose that you installed WinMX about a year ago as well?

Do as Sami says and uninstall WinMX, fix with HiJackThis and install something more secure if you are going to be using p2p.