There is nothing missing. You don't say what your error is but you need to download the PreferenceActivity library from the link provided above the download for the PreferenceActivity Example
You must have doownloaded the example a long time ago. Download the example again. If you look in post #2 in the thread you will see that the example was reposted. The error you get is due to an incorrect manifest, you can move the one in the example you have from the PreferenceActivity folder to the Objects folder and it should work.
A custom manifest file is required for the preference activity. This is done by setting Project - Do Not Overwrite Manifest file. This option is new in v1.6 and when you run the example in v1.5 a new manifest file is created.
You should redownload the example and set AndroidManifest.xml to be readonly.
I deleted the example
extract it again
add this line as last line before closing application
<uses-permission android:name="android.permission.INTERNET" />
I set the file to read-only
try to run it and it is stuck on "waiting for debugger"