What does the extra/haxelib_src folder contains?
If nothing you are missing the submodule, do git submodule update --init and retry.
The binaries are pretty easy to use, personally I put the content of the archive in /opt/haxe and add a symlink for haxe and haxelib with ln -s /opt/haxe/haxe /usr/local/bin/haxe and ln -s /opt/haxe/haxelib /usr/local/bin/haxelib and then I can use it normally.
Or when you don’t have root access just extract it in your home directory and add to .bashrc export PATH=/home/username/path/to/haxe:$PATH