Just like we assign materials to objects in OpenGL, we assign materials to objects in PhysX, only here they don't affect lighting, they affect the physical 'touch' of an object.
PhysX, just like OpenGL, needs to be setup, but and instead of setting the OpenGL state, we setup our PhysX scene. Inside a scene, is where all collisions and physics are calculated.
PhysX is the physics API by Nvidia, and I had a play with it back when Ageia owned it. I am not sure how current these tutorials are, but I am keeping them up in the hope they help someone.