I can assure you that zip file was not empty. I just double-checked it and the phex.hosts file was inside. With file-extensions hidden you would only see a file called 'phex' inside the folder. Oh I just realised, because i zipped it on my mac you will get a MACOSX folder inside. Ignore that folder. The phex file will be beside it after unzipping. (Only on Windows do you see the OSX folder. It's just easier for me to zip on my mac. Easy and quick, as the zipper is built into the system.)

In any case, there's more updated versions and installer to do it for you here.

Make sure you have phex as an exception in your computer's firewall.