Hi The "set folder" button, when clicked will allow you to browse your computer to select the folder. When chosen. click select, Apply .. then OK will close the options window.
You need to Go to the Phex Library tab, click add folder, browse for your completed Directory and click open and the folder will then be shared. but you then need to rescan or restart phex for the file to be shared.
If the folder is not shared the downloads will remain in your completed directory, but not appear in the Library.
afaik you can set your incomplete and complete directories wherever you like, BUT Do not put them in your Phex application folder or your Phex insstallation folder.
I hope this helps
