Have you tried one of the Phex connection installers? http://www.gnutellaforums.com/help-s...nstallers.html.
Phex must be closed when you run the Connection installer.
After you run the Connection installer, Phex might not connect first try, but let it try for 20 minutes or so. If no connection then close it. Open Phex a minute later and it should hopefully connect.
Did you give Phex an exception in your firewall?

If nothing works then post back these details http://www.gnutellaforums.com/new-ph...-you-post.html and we will see if there is something in your setup that might be the issue. For example a reknown problematic router or security software.