Phex doesn't stop your download, when you disconnect, you just can't search anymore.
The downloads are seperate from the network-code (which allows searching and letting others find your files).
If you want to stop the downloads, you either have to select them and click "stop download" (or do it from the right-click menu), or close phex.
It can come in quite handy, when you want to game, and you don't want to stop your dls, because it can save a bit of processing power,and maybe that is the bit you need (and downloads can find new download-sources even without a network-connection, and the same way others can find the files you are downloading and dl them from you). If you set your number of download-connections low enough, Phex can become really nice for your system and still download your files without leeching (for others can download those files which you are downloading from you).
Best wishes,
Arne |