Why do you want a primary connection?
I tried it once. I have a hardware firewall, and configured it so it would pass-thru WinMX's ports and got a primary connection working.
Big mistake. Talk about a bandwidth hog! My cable connection went from using a trickle to full network saturation real quick. Not only did having a primary connection suck up all my available bandwidth, but it slowed my computer down so much, it was unusable.
Now, I think WinMX will let you limit how much bandwidth it is allowed to take - it's been awhile so I can't remember the specifics. This will help with the bandwidth drain. The problem is in the Terms of Usage Agreement the cable company my internet connection is with. They have a 20 gig limit/month. Sounds like a lot, but at the rate WinMX was sucking it up, it wouldn't have lasted long.
For the answers to a lot of questions, check out:
MX Central or the
Slyck\'s Guide to WinMX page for more information.
For me - having a primary connection wasn't worth the drain it put on my internet connection and my machine.