In WinMX Settings/File Transfers where it says Incoming Files Folder that is where WinMX has been putting your downloads.. if you want to change the folder just click on the Change button & browse to where you want them to go in the future. You will have to cut/paste the old ones from folder to folder if you want them all in the new folder..
A TV can insult your intelligence, but nothing rubs it in like a computer.