Creating a player-run plot is a fairly simple process, closely related to creating any other form of adventure. The particular medium issues of a MUX affect how a DM might go about his or her work, but the basic principles are straightforward enough for almost anyone to manage plot creation. Creating and running PrPs is an excellent way to get acquainted with other players, and also gives the DM's characters some assured experience and treasure. There are a lot of different ways one can go about creating a PrP, but below are some guidelines on one possible way to set up your evening of Bold Adventure.
First, decide what general sort of plot you want to run. Do you want to run a combat-oriented plot, where the main challenge will involve a test of the party's martial prowess? Do you want to run a social plot, where the PCs will have to tread more delicately, and are forced to resolve the challenge with carefully-placed words and social adroitness? Or perhaps you want to run a plot focused on a particular skill not directly related to either socializing or stabbing, such as a challenge that requires great powers of stealth and skulduggery to complete. As most PrPs are fairly short, they most often fit comfortably when the main plot is directed towards a particular type of challenge, with multiple challenges being spread over multiple PrP sessions.
Second, once you've decided what sort of plot you have, decide what the exact challenge of it will be. A PrP without a challenge is just a glorified night at the tavern. There's nothing wrong with relaxing at the White Crane or showing off your character's prowess in some light street RP, but heroes are not made of such things. It is by meeting and overcoming dire and demanding challenges that ruffians and half-charlatan apprentices are made heroes and mighty wizards- or reasonable facsimiles thereof. Furthermore, a well-chosen challenge is a very good way to tie your plot tightly to the theme of the game, and help your players feel like they're roleplaying here in Xian rather than in some generic setting.
For combat plots, goblinoids are a fine and perennial choice of challenge. Orcs pour down constantly from the mountains to raid the lowlands, goblins haunt the forests and fields that surround isolated villages, and bugbears are a constant scourge to the plucky hill-villages that try to farm and mine around the great mountain ranges. The Licensed Adventurers Guild is always hiring adventurers to go murder a few goblinoids, and the challenge scales comfortably from a party of greenhorns trying to catch a small goblin raiding party to a band of hardened heroes rooting out an orcish warlord in his mountain aerie.
Special Note: Be careful with the hit points of your monsters. The default hit points presume a five-person party with at least one Striker. If you're running a smaller group or one with no teeth, you should consider cutting the hit points down as much as half. To do otherwise risks combats dragging when the outcome is clear but the players just need to keep rolling to whittle the last few beasts down.
For further ideas, take a look at some of the possibilities listed under the Adventure Hooks. The classic "dungeon crawl" can be difficult to execute on a MUX, but it's one of the more rewarding tropes possible. Another angle can be a plot that looks to be one kind of challenge, but later transforms into another- such as a mission that appears to be a straightforward search-and-destroy suddenly turning into a diplomatic exercise when it's discovered that the so-called "bandits" are actually the rightful owners of the land the "innocent villagers" are occupying.
Finally, think about what happens if the players fail, or if they don't take the likely direction through the plot. Most players have good manners, and they won't try to kick holes in the plot intentionally. Yet even a perfectly mannerly player can spot gaping logic gaps, or presume that you really did mean for him to murder the "wicked priest" who was supposed to be the party's informer about the nefarious Tide Cult they were sent to infiltrate. Think about some of the common ways they might diverge from your expected path, and what you intend to do about it if they wander off the thread. In particular, you should decide how you want to handle PC death. By default, PCs are as vulnerable to death in a PrP as they are in any plot- if they go below negative half hit points, it's time to say a prayer and check their pockets for loose change. This cruel outcome can be softened by the DM at his or her discretion, though it's recommended that DMs play fairly harshly with characters above second level. By that time, PCs have earned enough wealth to be able to afford a Raise Dead ritual, so it's not as if the character is destroyed by an untimely passing.
Once these elements are considered, you have a PrP. It might be something as simple as a brief jaunt to ambush a bandit leader when he goes to meet his fence outside Xian, or something as complicated as a five-part adventure arc involving an ancient ruin recently discovered. The more sophisticated and theme-tied one will get more credit, but even the simplest plot is welcomed and encouraged. Indeed, new DMs are best off starting simple and working from there. For details on how to submit this plot for approval now that you've developed it, check out submitting PrPs. Since it's almost certain to be approved, you might then check out running PrPs.