Here are some info for others which don't have VS 2010 and want to compile it against VS 2005:

- simply add all include folders of the PhysX SDK folder to your directory settings
- the PhysX plugin source uses a lot of code from the PhysX sample folders, so it is also necessary to add the SampleCommonCode folder
- add the sample folders SampleRaycastCar, SampleCharacterController, and maybe I forgot some
- make sure you link against all PhysX libs... I had lots of problems and after I added all, they were gone
- add as source files in the project tab only main.cpp, CharacterControl.cpp, external.cpp and PhysX.cpp
- if you use a precompiled header, open it (stdafx.h) and write #define NOMINMAX before #include <windows.h>
- if you have trouble with ErrorStream.h with the call of MessageBox and casting a string to LPCWSTR, just uncomment the whole switch and return NX_AR_BREAKPOINT. If you can't overwrite the file, make a copy and copy it into your project folder
- if you problems with the plugin headers, try #pragma once instead of the #define guard... I don't know if that solved one of my problems but I better repeat it hear
- to test your own dll, make sure that the ORIGINAL ackphysx.dll in acknex_plugins is renamed so that it is NOT loaded, like ackphysx.jcl or so...
- if you add features (like me, adding prismatic joints, see here), make sure that you make a copy of the ackphysX.h, copy it in your project folder and do an include with "..." instead of <...>

I hope it helps!

Btw, the source is so horrible.