NVidia no longer supply up to date binaries of PhysX 3 but they will give access to the complete source code instead on github(don't mistake this as PhysX is now Open Source because it's not). I won't run through how to clone a repository as there are so many great guides on the net but firstly you will want to go here and follow the instructions about how to access the source code https://developer.nvidia.com/physx-source-github . Once you have an account the source code is here https://github.com/NVIDIAGameWorks/PhysX-3.3
Once you have cloned the repository you should have a directory structure like so

If you go into PathToPhysxSource\PhysXSDK\Source\compiler you should find you IDE choice. With Visual Studio just open up and compile a debug and a release build. Should be fairly straight forward no other mods etc needed here.
Now when that is complete we need to create an environment variable called TORQUE_PHYSX3_PATH and point it to the PhysXSDK within your PathToPhysxSource directory like so

Due to the changes in how PhysX is now distributed it's almost impossible to make the default project manager work with all the different IDE versions and folder names, so i have created a CMake module to handle this. The PR for that is here https://github.com/GarageGames/Torque3D/pull/1488 and will most likely be in the main T3D development branch sometime in the near future.
Anyway back to CMake, it's pretty easy just select PhysX 3 and if all of the above is ok it should be happy days

Just don't forget to build the INSTALL project in Visual Studio to actually install the DLL files into your project. I will try and find time to get this working in Linux too as the current CMake module only supports windows for now.
*Tested with PhysX 3.3.4