Make sure you download version 4.0 of the plugin which uses PhysX SDK Version 3.4.0.
There is also a version 3.4 of the plugin which uses PhysX SDK Version 3.3.4. This doesn’t work, and was causing me to have the same problems as most people are mentioning here.
I’m using 3ds Max, so I downloaded the file called PhysX: 3D Studio Max DCC plug-in for PhysX 3-4-0
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