Go to
New -> Project...
and select "Java Project" don't select "..from existing Ant file"!!

Give it a name and select "Create project from existing source" and select the Phex root folder. Now click on "Next"
On the source tab configure two source folders one is "src\main\java" and the other is "src\test\java", most likely eclipse will detect them for you already. If you like to use ant in eclipse set the output dir to "output/classes", see below.
On the library tab all Jar files from "thridparty\**" should be listed.

Click "Finish" and your eclipse project should be available.

You can build Phex during development using the eclipse integrated build method, which is what I do most of the time. Or use the Phex ant build.xml from eclipse inside the build directory (Context menu - Run As..). In case you use the build.xml you should set the eclipse output folder to the "output/classes" directory. This is where the build.xml will write the classes too. In case you use eclipse build using the same output directory wont hurt either.

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