WinMX.exe is WinMX file sharing application. More information available here.

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What is WinMX?
WinMX is a FREE file-sharing program like no other.? It allows you to connect, download, and share files with MILLIONS of other users through the decentralized WinMX Peer Network.? Once WinMX is installed, you'll have access to one of the largest and most diverse networks of shared media files in the world.? And unlike many other 'peer to peer' software providers, we respect your privacy and will never sell you out to spyware.? When you download WinMX, you're getting WinMX and only WinMX, no bundled spyware, no ads, no B.S.