Hi Needmar,
In your Phex options/preferences>directories you need to create directories for incomplete and complete downloads. These must be "next" to each other and wherever you like except in the Phex programme or preference folders.
If you do not do this you will find the files going to your application folder (In Mac at any rate) and you have to pick them out one by one which is awkward to say the least
If you share your complete folder, and I think you have to choose to do this manually, The files will be shared when you restart Phex, or re-scan.
Personally I find there is so much junk, miss-named files and so on that I prefer to check files before I re-share them.
To clear downloads from the download window, you need to select and clear them manually (unless I am missing something)
I hope that helps