First make sure that you have Java installed, and that you can execute java by typing "java" in the console.

If you have a problem ("command not found") at this stage let me know, I will explain that further.

If java works simply type:

java -jar /path/to/your/Phex/directory/phex.jar

By the way which Linux are you using?

Try Mandrake 8.0!! It RULEZ.

Hope that helps.

Olaf