Yuck... That's a knot of problems with no clear link. I'm sure not digging in that hole.

http://www.conitec.net/beta/pX_intro.htm
http://www.conitec.net/beta/physX_open.htm

Please look at the function physX_level_load()
And the On_level_load in physX_open()

Oh and wasn't it important to have the right version installed? It's not the current version but an old one right.