On this CD Mx is stored in the Software\Mx\ directory. The Windows version can be installed by running Software\Mx\MxGUI\Windows\SETUP.EXE. Binaries for various Unix and Unix-like systems are in Mx/Unix-standalone.
The web based programs that Shaun Purcell demonstrated are available on his website at http://statgen.iop.kcl.ac.uk/.