fatal error C1083: Cannot open include file: 'Px.h'

Make sure you followed these steps carefully:

  1. Get the full engine source from GitHub (there is a tutorial on UE4’s official documentation) either in a .zip or using a pull request.
  2. Compile that build - and follow the steps on the documentation about making it default,etc
  3. Run the build and open your project
  4. Include PhysX libs in YourProject.build
  5. Include the proper classes (#include) in the class in question

I think these are the steps, I’m not at home currently. Did you follow these steps carefully? Again, they are on the documentation somewhere.