When you install WinMX you can choose to turn off uploading. You will be presented with the window below:

Select any folders listed in the box. Click "Unshare Selected Folders".

When all folders have been removed click "Next".

If you have already installed WinMX and want to disable file sharing follow the steps below:

Click the Shared Files tab:

Choose the Unshare Folder and select each folder listed.

Once there are no folders listed you should no longer be sharing any files.