If you see green connections in your connectios tab, you are already connected. to check if you're connected, try a What's New search).
Phex connects to other phex users (and users of other Gnutella Programs like LimeWire, gtk-gnutella and some miore), so there is no need to register anything (I hope you downloaded the program from
Phex - Home - Phex is free software, and you don't have to pay for it).
It's likely that you can't find the files from your friends, because Phex searches only until it found a reasonable amount of results (about 250). You might want to use a longer (more exact) search phrase.
Another reason could be that your friends Phex' didn't yet hash all files to share. It can take a few hours until a big share is available.
If you want to know *how* Phex connects and searches, please have a look at
Gnutella for Users - Gnufu