As a general rule of thumb, if you don't know what a socks-proxy is, you most probably don't need to change anything there.
If you are in a local network, you *might* have to set something in "export IP", but most times Phex is quite good at figuring out your address for itself, and then setting an IIP to export would do more harm than good.
As soon as Phex states, that it has connectiosn the chances are good, that you do have a connection.
But as pawelsz said: it is best to wait, till you have at least 3 connections before firing up searches. The first connection to teh Network can sometimes take some time; later ones should be faster, if you have your Phex running long enough and often enough (it stores connection-info locally, and when that is outdated, it can take some time, till Phex updated it).
And besides: Welcome to Phex! I hope you like your stay with your kit.
