MTX is just using a torrent to download the game, but their client is setup weird and is slow for people. Here's their official torrent file they're using, you can open in whatever torrent client you usually use. once it's finished just open MTX, and go to File->Open .mtx.
Also, MTX seems to hang up some times randomly. If it appears to be frozen or not doing anything, just close it an reopen.
EDIT: Here are the torrents for the two latest patches, bringing it up to date. These are much smaller though so MTX might be fine for them. But if you want:
Second edit, once you've "opened" the file in MTX, it will copy it to where it wants it. You might need to click install on MechWarrior 4 from the Games Available tab for it to actually start installing it.