Did you already setup the LAN? (I'm no native english speaker, and your wording is ambigous to me...).
Anyway: You can set every phex to use a private network (shortcut: strg-n) and then add all their IP-Ports to to the favorites in all others. Then just select the IP-Port in the favorites and hit the connect button.
(you might have to go to the options (strg-o) -> network and select "allow to be ultrapeer" and "force to be ultrapeer".
Besides: You post in the wrong thread. Your entry will be moved to a more appropriate forum in a few days. For questions like these, please go to "new Phex users":
New Phex Users