I think the phex_3.2.0.102_src zip is missing the third party directory structure.
You can either create the structure with its files manually, like it is displayed here:
SourceForge.net Repository - [phex] Index of /phex/trunk/thirdparty

Or, what I would recommend you to do, is to install TortoiseSVN, and get the source directly from the Phex SVN:
Subversion - PhexWiki
Build Phex from Subversion - PhexWiki

The documentation is for a command line SVN client, but basically TortoiseSVN integrates neatly into the Windows Explorer and you can access all commands through the context menu.

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