Other than that - where did you try uninstalling from? If you tried from a shortcut icon link then try instead from the Control Panel->Add Remove Programs dialog. They should do the same thing - but it's worth trying both to cover against shoddy coding.
If that really doesn't work then you could just admit defeat and delete the WinMX folder in the start menu and in Program Files (or wherever you installed to). It's not really good practice to do this as it will leave behind registry entries, but for a one off it's probably forgivable.
i got win xp pro and i clicked on the add/romove 1 it sed it was uninstalled but i whent into the c drive and it was there and it still works fine the only thing that was uninstalled was the uninstaller icon.