I wish I could help there, but I've never used PIX so I can't tell you how really. Trust me though, find out how to view your log files. They are invaluable!
What you can do, especially with this winmx app, is install the offending program on your machine. Then connect to the service. Take a look at your firewall log to see what port the service went out on, and where is the first place it went. The first place is usually a logon server of some sort. I've found that the easiest way to block programs that can change their outbound port is to block all access to the logon server.
Ready for the next problem? Most services have multiple logon servers (Yahoo messenger has over 80) The trick is finding them. Ususally the app will try a logon server, and if it is blocked, it may try to go to the next one in its list. Keep an eye on the log files, and find out where its going.
First thing's first though. Find out how to view your log files. Do some digging on google, and if all else fails, start a new post here. I'm sure there's plenty of people who use PIX, and I'm sure they'd be glad to help as well.