First you can try selecting the "waiting" download and hit the "search" button below the download-list.
This will search for new sources. If you do that now and then, you might get new sources, and often these sources know other sources from which you can also download (that info is being exchanged).
Thhe "Preview" of files doesn't always work, because it is only set for certain file types (like some movie types and similar), at least as far as I know. I second pawelsz here: Just check them in the explorer, if you use windows.
You can also check incomplete downloads or files which you are downloading at the moment (they begin with "INCOMPLETE-", so you can even use search to find the folder in which Phex saves them). Sometimes the download is fast enough, that you can even watch movies, while you download them.
If you want to change it, that you don't know much about the workings of Phex, you might want to take a look at Gnutella For Users:
http://GnuFU.net .
It is a guide which explaines the workings of Gnutell (the network Phex uses) for Users, which means it cuts out all the unnecessary technical stuff and explaines in terms you already know from your day-to-day life (because Gnutella works much like a society in which people ask their friends for information).
Also you'll find some information on
http://phex.org and on
http://wiki.phex.org .
And besides all that: Welcome to Phex!