This sounds familiar to me.

I had similar problems and this is what you can do:

- start Phex with the "StartPhex.bat" file (if you have a Windows system)
or
- type "java StartPhex" at the command line in your Phex directory
or
- type "javaw StartPhex" at the command line in your Phex directory

You can no longer successfully start Phex with the "phex.jar", you have to use the "StartPhex.class" instead. At least this is unless you have Java 1.4beta, in this case you can still start Phex with the phex.jar.