ok, lets check a few things and see which you say yes I done that.
This is for installing Dark PhysX for use in Dark Basic Pro, Not GDK.
1. if using vista or windows 7 have you given it the right to run.
2. installed directX 9.0c
link here.
3. install Dark Physx update 1.05.
4. activated Dark physx with Dark physX key not the DBPro one.
5. downloaded the latest Nvidia physX drivers, link
here
if you say yes to everthing above then it should be working.
edit
try number 5 first.
Dark Physics makes any hot drink go cold.