With physx 3.4 don't worry about that for now, it was more just a casual comment, physx 3.4 is still in closed beta, you gotta ask their licensing department for a copy for testing. So we will stick with 3.3 which is publicly released.
Step 1) clone this repository
https://github.com/NVIDIAGameWorks/PhysX-3.3 - if you don't have access see
https://developer.nvidia.com/physx-source-github
Step 2) compile the above physx using whatever version of VS you will use in T3D (don't forget both debug and release if you plan on using both in t3d). Currently the cmake file only supports VS 2013/15 32 or 64bit. Go into /where_you_cloned_physx_above/PhysXSDK/source/compiler for the visual studio solution files.
Step 3) make an environment variable called TORQUE_PHYSX3_PATH that points to /where_you_cloned_physx_above/PhysXSDK/ You may need to reboot for this to take affect depending on how you do it.
Step 4) place the physx 3.3 cmake file into T3DFolder/Tools/Cmake/Modules and run cmake and obviously select physx.
Step 5) Open cmake generated solution file and happy days, no more to do but compile and run. It will copy the required dll files etc automagically for ya and also place the physx stuff in the project.
When physx 3.4 is finally publicly released i have made changes to the cmake file that makes this a bit easier, till than you gotta follow the above steps.
PVD is the visual debugger for physx.
Also nvidia told me they will never again release physx in compiled form, from here on out it is github source code only. Unfortunately for licensing reasons we can't ship T3D with the physx source, hence why you gotta manually grab it and compile yourself. In case you are wondering, the physx sdk source code contains PhysX sdk, APEX sdk and PVD source code.