Make sure you followed these steps carefully:
- 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.
- Compile that build - and follow the steps on the documentation about making it default,etc
- Run the build and open your project
- Include PhysX libs in YourProject.build
- 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.