Although WinMX is probably one of less hazardous P2P sharing software, when you use software like that, you should scan your computer for virus, trojans and spyware as regularly as possible. Even if WinMX itself doesn't include dialers and trojans, you just never know what else you're getting when you're downloading what appears to be a nice MP3.
Install Spybot S & D or Adaware to scan for spyware etc. Update your AV and scan.
If you're pretty sure that you yourself didn't dial those premium rate numbers, you must check that your computer is clean, and be extremely vigilant with your surfing.