I downloaded the PhysX SDK (220.127.116.11) from the nVidia Develop Support Center and it says system software is not required.
(NOTE: This is the required core for all installations of the PhysX SDK. It contains headers, libs, dlls, samples, and documentation. Both x32 and x64 versions are included in the installer. Does NOT require a System Software installation.)
It seems that all the necessary dlls are already included.
Do you have PhysX System Software installed, and if yes - what version ?