Ok, here's an update to my dillema...not really.
I downloaded ZA Pro and configured it to allow incoming and outgoing UDP and TCP on port 6346. I made sure that Phes was using that same port. I made sure that MS firewall was off. I even gave Phex and it's DLL full access permissions on all security levels...I STILL get all connections listed as OUT and the firewall pic in the lower left. Hell, I still get that even if the firewall is shutdown.
Here's some screenshots of what my Phex is configured like...maybe I screwed something up big time?
EDIT: Had to change the image host