I guess you're talking about implicit linking, rather than the explicit stuff we usually deal in here (LoadLibrary, GetProcAddress etc)?
The way this happens is fairly simple - for each DLL that you want to implicitly link against, there's a small static lib that you actually link to. When this is made a part of your app, this static lib automatically loads the DLL and links your calls to the functions in the DLL.
This can happen either at load time (standard), or when you call the first function from the DLL (delayed load).
From this, you can probably determine that the lib does not replace the DLL, so you still need the DLL to run your executable. So yes, your users will still need to have the (correct) PhysX runtime installed to use your plug-in.