I worked a long time with WinMX, but in those days I wasn't aware of spyware.
So I don't know of any malware related with WinMX. The main reason why I used winMX was because of the classic music. Not many P2P programs offer so many classic music MP3's like winMX.
WinMX had only one big disadvantage for me, I had to share my MP3 with other winMX users and I couldn't afford that, because my IP limits my outgoing traffic to 1.5 gb per month, which isn't much and my IP punishes me when I go over that limit by switching my broadband to a smallband connection.
So alot of other winMX users cancelled my downloadings, because I didn't share my MP3's with them.
Nevertheless I downloaded 17 gb MP3's during 3 months and then I stopped. I had enough classic MP3's.
I could download so many MP3's because I choosed always the fastest connections and alot of other winMX users didn't pay attention all the time. I had alot of fun in those days because downloading with winMX was for me a kind of cat and mouse game with the other winMX users.
I have read Tuxedo Jack's link and winMX seems to be recommended. So my choice wasn't too bad.