Ok, might of found a problem.
Avast P2P shield doesn't seem to be scanning my music downloads, it seems to scan winmx itself on opening, but not song downloads (stays on C:\Program Files\WinMX\index.dat), if tried with two songs and had the same result, from begging to end nothing happens, i first noticed it when the little avast "A" icon wasn't spinning away in the task bar, winmx is deffinatly checked in the customization box, and the sensitivity bar is on high.
EDIT: OK just done another test, i noticed that just after the file is downloaded from winmx Avast scans "C:\Program Files\WinMX\library.dat", could this be it scanning the song, i thought it was suppost to say the song it scanned in the P2P shield? (i download to my desktop btw).
Also same happens with or without my firewall open or closed, (ZoneAlarm FREE version:5.5.062.000).
Windows XP Home SP2
Avast 4.5.542
Winmx 3.53
--lee