Hello, I decided to start doing a little game and do not know what engine to use.
Hello,
The important thing I noticed on your post is the word little. But both libraries you listed are quite big and somewhat intended for big projects. And, by PhyX, I imagine you meant PhysX? If that's the case, that's a physics engine, that surely isn't for simpler games.
Reason tells me to say "It doesn't matter which you choose", but just try to start slow...
If you have no experience, or just some, you could surely get a tutorial series online and start from there.