It can be a bit difficult to get started developing with PhysX on Windows since there is not a lot of documentation. Here are a few steps to get started easily:
Download the latest PhysX SDK. To do that you need go here. You need to register to login. Once inside, head over to Home > Downloads > PhysX SDK 3.2 > More. Grab the latest version, it will be a zip file.
Unzip the downloaded PhysX SDK zip file. Go to **Samples* and choose the Visual Studio version that matches or is closest to the version you are using.
Open the Samples.sln solution file. Compile the Samples project inside it.
Hopefully, the compilation is successful. Note the last line in the Output window of Visual Studio. This shows the path and the name of the EXE file that it has produced.
Open this EXE file and enjoy the PhysX demos.
Now that you have PhysX samples running, have a look at the code and the settings of the solution to learn how to write your own PhysX code and compile it.
Tried with: PhysX SDK 3.2.4, Visual Studio Express 2012 and Windows 7 x64