in the 'transfers' window, right-click on the detail line for the person you are wanting to message - choose option for 'send message'. A message window will pop up - enter your message and click 'send' button.
When someone replies to you, a little envelope icon will pop up in the windows system tray on your desktop. double click that icon and the message box will pop up with thier message. From there, you can choose to reply with a new message or what have you.
I always do it this way - I never actually use the 'chat' window, just right click on a transfer. I'm not at my home pc right now, so I can't verify whether the 'send message' option shows up in the right click menu on the search results window as well, but I bet it does.
hope this helps!
ps - there is a pretty good winmx forum at zeropaid.com