physx install

Hi people, I install in my computer the physx 2.8.4 sdk.
How can I install it in my solution c++ project ?
What I need to do to make this " http://www.youtube.com/watch?v=tui2ps2EMZY " ?

Thanks

P.D.: My idea is to have a good physic system. The breakeabled objects I know that exist a tutorial.