For your first questions: Apple currently develops their own Java currently and has decided to develop Java 2 for OS X only.

Next the .jar files are just one of the ways that java applications a packaged to be cross platform. The phex.jar is the actual application and the other three are just, what we mac uses call, Libraries like the RezLib that comes with AirBurst.

When you get OS X I suggest you download MacPhex which is JUST a program and comes with some extras for OS X. Also if you download MacPhex on OS 9.x it may just show as a folder.