I've found WinMX to be a little better than Lime-Wire. I don't know about the risks of it though
I used WinMX for a while too. I had nothing but problems with it. After a while it just refused to download any more songs....
The first thing I used was Audiogalaxy until it got shut down, then I switched to Morpheus (which sucked), Filetopia was next, then I had emule, which didn't work right most of the time. When it did work it was slow as hell. Then I started using Kazaa Lite, til 90% of the songs were corrupted. Now I'm using LimeWire, which uses the Gnutella, Bearshear and other networks...It's the best so far!